Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077450 | Insurance: Mathematics and Economics | 2008 | 12 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Katharina Zaglauer, Daniel Bauer,