1,721,005 research outputs found
On the Valuation of Risky Zero Coupon Bonds
No full textQuaderni del Dipartimento di Matematica Applicata alle Scienze Economiche Statistiche ed Attuarial
A Bidimensional Approach to Life Portfolio Valuations and to the Insurer's Future Business
No full textQuaderni del Dipartimento di Matematica Applicata alle Scienze Economiche Statistiche ed Attuariali
The Fair Value of Guaranteed Annuity Options
No full textWe discuss the fair valuation of Guaranteed Annuity Options, i.e. options providing the right to convert deferred survival benefits into annuities at fixed conversion rates. The use of doubly stochastic stopping times and of affine processes provides great computational and analytical tractability, while enabling to set up a very general valuation framework. For example, the valuation of options on traditional, unit-linked or indexed annuities is encompassed. Moreover, security and reference fund prices may feature stochastic volatility or discontinuous dynamics. The longevity risk is also taken into account, by letting the evolution of mortality present stochastic dynamics subject not only to random fluctuations but also to systematic deviations
On the optimal design of participating life insurance contracts
Full text linkIn this paper we study how policyholders and equityholders contribute to the formation of a life insurance company issuing participating contracts. The structure of these contracts is stylized and features a guaranteed rate of return and a terminal bonus, as in the pioneering model by Briys and de Varenne (1994, 1997). Policyholders aim at maximizing their preferences by choosing the leverage ratio and the guaranteed level, while being subject to regulatory constraints of fair valuation and solvency. We provide conditions under which non trivial contracts exist and analyze their properties
A Bidimensional Approach to Mortality Risk
No full textWe analyze the evolution over time of portfolios of life insurance contracts referring to different cohorts or risk classes of insureds. We model the intensity of mortality as a random field, in order to capture cross-generation (risk class) effects induced by the on-going management of portfolios of policies. Applications are described in the context of mortality risk analysis and (market) valuation of liabilities at aggregate level. It is shown how the model can be employed when an insurer's new business is considered
On the valuation of the initiation option in a GLWB variable annuity
No full textIn this paper we focus on the initiation option featured in many Guaranteed Lifelong Withdrawal Benefit variable annuity contracts, granting their owner the right to decide the age at which lifetime withdrawals should begin. Such contracts have been successfully analysed using a PDE approach. The latter method is elegant, but becomes less viable when the valuation model is more involved and other guarantees are considered. As an alternative, we exploit the Least Squares Monte Carlo approach and model the interaction of the initiation option with lapses
and other riders
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