Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077672 | Insurance: Mathematics and Economics | 2006 | 13 Pages |
Abstract
The sensitivity of the contract value with respect to multiple parameters is studied. In particular, we find that life insurers offer interest rate guarantees below their risk-neutral value. Furthermore, the financial strength of an insurance company considerably affects the value of a contract.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daniel Bauer, Rüdiger Kiesel, Alexander Kling, Jochen RuÃ,