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

by Nils Rüfenacht

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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Year of publication:	2012
Authors:	Rüfenacht, Nils
Publisher:	Heidelberg : Physica-Verlag HD
Subject:	Lebensversicherung \| Life insurance \| Optionspreistheorie \| Option pricing theory \| Stochastisches Modell
Description of contents:	Theoretical Considerations Regarding Embedded Options -- Asset Modelling Process -- Liability Modelling Process -- An Empirical Analysis Using the Entire Modelling Approach Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

Extent:	Online-Ressource (XXV, 167p. 33 illus, digital)
Series:	Contributions to Management Science SpringerLink / Bücher
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Implicit Embedded Options in Life Insurance Contracts; A Market Consistent Valuation Framework; Acknowledgements; Abstract; Contents; List of Figures; List of Tables; Acronyms; Chapter1 Introduction; 1.1 The History of Equitable Life; 1.2 Revised Supervision and Valuation Methodology; 1.2.1 The Swiss Solvency Test (SST); 1.2.2 Solvency II; 1.2.3 Market Consistent Embedded Value (MCEV); 1.2.4 Comparison of the Introduced Approaches; 1.3 Research Question and Objectives; 1.4 Outline; Chapter2 Theoretical Considerations Regarding Embedded Options; 2.1 Types of Embedded Options and Guarantees 2.2 Literature Survey2.3 Conclusions for the Modelling Framework; Chapter3 Asset Modelling Process; 3.1 Defining a Proxy for the Asset Modelling; 3.2 Basics of Stochastic Modelling; 3.3 The Share Price Process and the Property Price Process; 3.3.1 Calibration of the Share Price Process and the Property Price Process; 3.3.2 Generating Stochastic Scenario Files for the Share Price Process and the Property Price Process; 3.4 Basics of Interest Rate Theory; 3.4.1 The Short Rate; 3.4.2 Forward Interest Rate and Interest Rate Curves; 3.5 The Bond Price Process 3.5.1 The Cox-Ingersoll-Ross (CIR) Model3.5.2 The Hull-White (HW) Model; 3.5.3 The Two Additive Factor Gaussian (G2++) Model; 3.5.4 Comparison of the Interest Rate Model Calibration; 3.6 Generating Stochastic Scenario Files for the Bond Price Process; 3.7 Using the Stochastic Scenario Files for Modelling Purposes; Chapter4 Liability Modelling Process; 4.1 The Initial Values of the Balance Sheet Entries; 4.2 The Entire Modelling Algorithm; 4.3 Using the Model's Output to Determine an Option's Value; 4.4 A Sample Simulation; Chapter5 An Empirical Analysis Using the Entire Modelling Approach 5.1 The Basic Simulation Run5.1.1 A Summary of the Key Results ofthe Basic Simulation Run; 5.2 Variation of the Shareholder Margin; 5.3 Variation of the Interest Rate Model to Generate Stochastic ZCB Prices; 5.4 Variation of the Asset Allocation; 5.5 Analysis of as at the End of 2004 Data; 5.6 Variation of the Market Interest Rates; 5.7 Variation of the Surplus Distribution Mechanism; 5.8 Variation of the Surplus Determination; 5.9 Simulating a Mortality Shock; 5.10 A Conclusion on the Sensitivity Analysis; Chapter6 Conclusion; 6.1 Outlook for Further Research AppendixA Calibration Data BasisA.1 Calibration Data Basis as at the End of 2009; A.2 Calibration Data Basis as at the End of 2004; AppendixB Additional Information on the Basic Simulation Run; References; Index; Curriculum Vitae;
ISBN:	978-3-7908-2843-6 ; 978-3-7908-2842-9
Other identifiers:	10.1007/978-3-7908-2843-6 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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