Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

Business & Finance, Industries & Professions, Insurance, Nonfiction, Science & Nature, Mathematics, Applied
Cover of the book Implicit Embedded Options in Life Insurance Contracts by Nils Rüfenacht, Physica-Verlag HD
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Author: Nils Rüfenacht ISBN: 9783790828436
Publisher: Physica-Verlag HD Publication: April 3, 2012
Imprint: Physica Language: English
Author: Nils Rüfenacht
ISBN: 9783790828436
Publisher: Physica-Verlag HD
Publication: April 3, 2012
Imprint: Physica
Language: English

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

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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

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