1) pricing of life insurance 人寿保险定价 2) term life insurance 定期人寿保险 1. In this paper ruin probability in theterm life insuranceis studied, we give the formula of ruin probability. 利用风险理论,对定期人寿保险模型进行了研究,得到了定期人寿保险模型的破产概率的表达式。
interest rate riskmortality riskpooling riskterm assurancesannuitiesinterest rate riskmortality riskpooling riskWe describe how traditional insurance contracts can be priced by adopting a market-consistent approach. In particular, we examine the impact of interest rate ri...
6) Interest spread risk of life insurance 寿险利差损风险补充资料:利率封顶期权和利率保底期权的定价 利率封顶期权和利率保底期权的定价 【利率封顶期权和利率保底期权的定价】为了更透彻地理解利率封顶期权和利率保底期权,我们来分析一下其组成部分。比如,一个2年期利率封顶期权可以被看成是一系列欧式看跌期权的...
of Life Insurance Products 人口风险对寿险定价的影响 Key words: mortality risk; mortality table; life insurance; actuarial pricing Abstract: Demographic risk, the risk that mortality tables change in a nondeterministic way, is a serious threat to the financial performance of life insurance companies....
The paper uses the efficient hedging methodology in order to optimally price and hedge equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. In particular, we consider a policy which pays the maximum of the values of n risky assets at some maturit...
life reinsuranceWhat is the catastrophe risk a life insurance company faces? What is the correct price of a catastrophe cover? During a review of the current standard model, due to Strickler, we found that this model has some serious shortcomings. We therefore present a new model for the ...
In this thesis we present a framework in which participating life insurance contracts can be valuated and analyzed in a regime-switching market environment. In particular, we let the asset process (modeling the insurer's asset portfolio) evolve according to a geometric Brownian motion whose coefficie...
The key feature of unit-linked or equity-linked life insurance policies is the uncertain value of the future insurance benefit. By issuing unit-linked insurances that guarantees the policy-holder a minimum benefit, the insurance company is exposed to financial risk. The value of the insurance ...
ESSAYS IN INSURANCE ECONOMICS || Risk-Return Tradeoff, Income Measurement and Capital Asset Pricing for Life Insurers: An Empirical Investigation GCF Lee - 《Geneva Papers on Risk & Insurance》 被引量: 0发表: 1986年 Corporate Hedging in the Insurance Industry In this paper we investigate the ...
Mortality Portfolio Risk Management We provide a new method, the “MV+CVaR approach,” for managing unexpected mortality changes underlying annuities and life insurance. The MV+CVaR approach ... SH Cox,Y Lin,R Tian,... - 《Journal of Risk & Insurance》 被引量: 49发表: 2012年 Mortality Po...