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

• Main Author: Rüfenacht, Nils (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2012.
• Series: Contributions to Management Science,
• Subjects: Finance.; Insurance.; Economics, Mathematical.; Quantitative Finance.; Finance, general.

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...

Table of Contents:

• Theoretical Considerations Regarding Embedded Options
• Asset Modelling Process
• Liability Modelling Process
• An Empirical Analysis Using the Entire Modelling Approach.