A performance analysis of participating life insurance contracts
نویسندگان
چکیده
منابع مشابه
Analysis of Participating Life Insurance Contracts : a Unification Approach
Fair pricing of embedded options in life insurance contracts is usually conducted by using risk-neutral valuation. This pricing framework assumes a perfect hedging strategy, which insurance companies can hardly pursue in practice. In this paper, we extend the risk-neutral valuation concept with a risk measurement approach. We accomplish this by first calibrating contract parameters that lead to...
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با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
Bayesian Analysis of Participating Life Insurance Contracts with American-style Options
In this paper a Bayesian approach is utilized to analyze the role of the underlying asset and interest rate model in the market consistent valuation of life insurance policies. The focus is on a novel application of advanced theoretical and computational methods. A guaranteed participating contract embedding an American-style option is considered. This option is valued using the regression meth...
متن کاملRisk - Neutral Valuation of Participating Life Insurance Contracts in a Stochastic Interest Rate Environment vorgelegt
Acknowledgements I would like to thank my advisor Daniel Bauer for giving me support at all stages of the thesis and for spending a lot of time and patience to answer questions and read my revisions. I am also very grateful to Ralf Leidenberger and Mario Rometsch for assisting with the numerics and implementation. Their dedication and support made it possible to complete the work in time. Furth...
متن کاملAlternative framework for the fair valuation of participating life insurance contracts ∗
In this communication, we develop suitable valuation techniques for a with-profit/unitized with profit life insurance policy providing interest rate guarantees, when a jump-diffusion process for the evolution of the underlying reference portfolio is used. Particular attention is given to the mispricing generated by the misspecification of a jumpdiffusion process for the underlying asset as a pu...
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ژورنال
عنوان ژورنال: Zeitschrift für die gesamte Versicherungswissenschaft
سال: 2011
ISSN: 0044-2585,1865-9748
DOI: 10.1007/s12297-011-0179-6