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
| ISBN: | 9783790829433 |
| Publication date: | 9th May 2014 |
| Author: | Nils Rüfenacht |
| Publisher: | Physica an imprint of Physica-Verlag HD |
| Format: | Paperback |
| Pagination: | 170 pages |
| Series: | Contributions to Management Science |
| Genres: |
Finance and the finance industry Applied mathematics Economics, Finance, Business and Management |
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
Implicit Embedded Options in Life Insurance Contracts features in the following genres: Finance and the finance industry, Applied mathematics, Economics, Finance, Business and Management
Implicit Embedded Options in Life Insurance Contracts is available in Paperback, Hardback
Implicit Embedded Options in Life Insurance Contracts was written by Nils Rüfenacht and published by Physica an imprint of Physica-Verlag HD
Implicit Embedded Options in Life Insurance Contracts has 170 pages
Yes it is part of Contributions to Management Science series