Article ID Journal Published Year Pages File Type
5077672 Insurance: Mathematics and Economics 2006 13 Pages PDF
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
Preview
Risk-neutral valuation of participating life insurance contracts
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