Stochastic Interest Rate Approach of Pricing Participating Life Insurance Policies with Embedded Surrender Option
نویسندگان
چکیده
منابع مشابه
Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
In this paper we analyse, in a contingent-claims framework, one of the most common life insurance policies sold in Italy during the last two decades. The policy, of the endowment type, is initially priced as a standard one, given a mortality table and a technical interest rate. Subsequently, at the end of each policy year, the insurance company grants a bonus, which is credited to the mathemati...
متن کاملFair Valuation of the Surrender Option Embedded in a Guaranteed Life Insurance Participating Policy
In this paper we deal with the problem of valuing the surrender option embedded in a participating life insurance policy with a minimum interest rate guaranteed. This feature is an American-style put option that enables the policyholder to sell back the contract to the insurer at the surrender value. By means of a recursive binomial tree à la Cox, Ross and Rubinstein (1979) we compute, first of...
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 کاملEarly Default Risk and Surrender Risk: Impacts on Participating Life Insurance Policies
We study the fair valuation of participating life insurance policies with surrender guarantees when an early default mechanism is imposed by a regulator. An insurance company is forced to be liquidated once a solvency threshold is reached before maturity. The early default regulation affects the contracts’ value not only directly via changing the contracts’ payment streams but also indirectly v...
متن کاملInterest Rate Option Pricing With Volatility Humps
This paper develops a simple model for pricing interest rate options. Analytical solutiorls are developed for European claims and extremely efficient algorithms exist for tile pricing of American opciolls. T h e interest rate claims are priced in the Heath-Jarrow-klorto~i paradigm, and hence illcorporate full information on the term structure. T h e volatility. structure for forward rates is hu...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: American Journal of Mathematical and Computer Modelling
سال: 2018
ISSN: 2578-8272
DOI: 10.11648/j.ajmcm.20180301.12