Implicit Embedded Options in Life Insurance Contracts A Market Consistent Valuation Framework

Implicit Embedded Options in Life Insurance Contracts A Market Consistent Valuation Framework / by Nils Rüfenacht.

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...

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Bibliographic Details
Main Author: Rüfenacht, Nils (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2012.
Edition:1st ed. 2012.
Series:Contributions to Management Science,
Springer eBook Collection.
Subjects:
Insurance.
Economics, Mathematical .
Finance.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Description
Summary: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.
Physical Description:XXVI, 170 p. online resource.
ISBN:9783790828436
ISSN:1431-1941
DOI:10.1007/978-3-7908-2843-6

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