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Nils Rüfenacht

Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

Physica

Collection : Contributions to Management Science

Date de publication : 2012-04-03



126,59
Guide des formats
Description
This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framework is used to perform an empirical analysis based on more than 110,000 actual and in-force life insurance policies and with a focus on the modeling of interest rates. Its results are the answer to the central question posed in the objectives: What value do the embedded options and guarantees considered have? This question is answered both absolutely and relative to the current policy reserves, from the perspective of the insurer, the policyholder and the shareholder respectively
Pages
170
Collection
Contributions to Management Science
Parution
2012-04-03
Marque
Physica
EAN papier
9783790828429
EAN EPUB
9783790828436

Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
17
Taille du fichier
24699 Ko
Prix
126,59 €