Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

Risk - 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...

Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy

Alternative 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...

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...

“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...