کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5077450 | 1374131 | 2008 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: 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](/preview/png/5077450.png)
چکیده انگلیسی
The sensitivity of the contract and guarantee values with respect to multiple parameters is studied using the bonus distribution schemes as introduced in [Bauer, D., Kiesel, R., Kling, A., RuÃ, J., 2006. Risk-neutral valuation of participating life insurance contracts. Insurance: Math. Econom. 39, 171-183]. Surprisingly, even though the value of the contract as a whole is only moderately affected by the stochasticity of the short rate of interest, the value of the different embedded options is altered considerably in comparison to the value under constant interest rates. Furthermore, using a simplified asset portfolio and empirical parameter estimations, we show that the proportion of stock within the insurer's asset portfolio substantially affects the value of the contract.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 1, August 2008, Pages 29-40
Journal: Insurance: Mathematics and Economics - Volume 43, Issue 1, August 2008, Pages 29-40
نویسندگان
Katharina Zaglauer, Daniel Bauer,