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

• Κύριος συγγραφέας: Rüfenacht, Nils (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2012.
• Σειρά: Contributions to Management Science,
• Θέματα: 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...

Πίνακας περιεχομένων:

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