Download or read book Investment Guarantees written by Mary Hardy and published by John Wiley & Sons. This book was released on 2003-03-06 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.

Download or read book Equity Linked Life Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2017-09-07 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Download or read book Equity Linked Life Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2017-09-07 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Download or read book Pricing and Investment Strategies for Guaranteed Equity linked Life Insurance written by A. J. Stagliano and published by . This book was released on 1979 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing of equity linked life insurance policies with an asset value guarantee and periodic premiums written by Annette E. Kurz and published by . This book was released on 1996 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing of Equity linked Life Insurance Policies with an Asset Value Guarantee and Periodic Premiums written by Annette Kurz and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Innovative Equity Linked Life Insurance Based on Traditional Products written by Maria Alexandrova and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Select Products are equity-linked life insurances with investment guarantee in the German market which - in contrast to typical guaranteed equity-linked products - are constructed by using a traditional life insurance contract and suitably leveraging the annual surplus distribution. In this paper, we describe the unique features of traditional life insurance (particularly the collective savings process) and analyze how these features contribute to such products. We present a model framework for the most prominent type of Select Products and compare the product design when offered by a bank or an insurer. Our analysis emphasizes that the current attractiveness of such products arises from the unique features of traditional life insurance by pooling risks as well as the utilization of the balance sheet in the current low interest rate environment. We discuss these aspects in detail and further address benefits as well as detriments of these products depending on the market conditions. We also explain how such products with alternative guarantees interact with an insurer's book of business and can help reduce the risks resulting from “old guarantees”

Download or read book Pricing and Investment Strategies for Guaranteed Equity linked Life Insurance written by Michael Joseph Brennan and published by S.S. Huebner Foundation for Insurance Education. This book was released on 1979-01-01 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Uniqueness of the Fair Premium for Equity Linked Life Insurance Contracts written by J. Aase Nielsen and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: An equity-linked life insurance contract combines an endowment life insurance and an investment strategy with a minimum guarantee. The benefit of this contract is determined by the guaranteed amount plus a bonus equal to a call on the portfolio. This bonus is similar to an Asian option. We analyze the relationship between the periodic insurance premium and its proportional share invested into the portfolio. For a general model of the financial risks we show the existence and uniqueness of an insurance premium. Furthermore the premium is strictly increasing and convex as a function of the share invested.

Download or read book An Introduction to Computational Risk Management of Equity Linked Insurance written by Runhuan Feng and published by CRC Press. This book was released on 2018-06-13 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in traditional life and annuity products, insurers face unprecedented financial risks since the introduction of equity-linking insurance in 1960s. As the industry moves into the new territory of managing many intertwined financial and insurance risks, non-traditional problems and challenges arise, presenting great opportunities for technology development. Today's computational power and technology make it possible for the life insurance industry to develop highly sophisticated models, which were impossible just a decade ago. Nonetheless, as more industrial practices and regulations move towards dependence on stochastic models, the demand for computational power continues to grow. While the industry continues to rely heavily on hardware innovations, trying to make brute force methods faster and more palatable, we are approaching a crossroads about how to proceed. An Introduction to Computational Risk Management of Equity-Linked Insurance provides a resource for students and entry-level professionals to understand the fundamentals of industrial modeling practice, but also to give a glimpse of software methodologies for modeling and computational efficiency. Features Provides a comprehensive and self-contained introduction to quantitative risk management of equity-linked insurance with exercises and programming samples Includes a collection of mathematical formulations of risk management problems presenting opportunities and challenges to applied mathematicians Summarizes state-of-arts computational techniques for risk management professionals Bridges the gap between the latest developments in finance and actuarial literature and the practice of risk management for investment-combined life insurance Gives a comprehensive review of both Monte Carlo simulation methods and non-simulation numerical methods Runhuan Feng is an Associate Professor of Mathematics and the Director of Actuarial Science at the University of Illinois at Urbana-Champaign. He is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. He is a Helen Corley Petit Professorial Scholar and the State Farm Companies Foundation Scholar in Actuarial Science. Runhuan received a Ph.D. degree in Actuarial Science from the University of Waterloo, Canada. Prior to joining Illinois, he held a tenure-track position at the University of Wisconsin-Milwaukee, where he was named a Research Fellow. Runhuan received numerous grants and research contracts from the Actuarial Foundation and the Society of Actuaries in the past. He has published a series of papers on top-tier actuarial and applied probability journals on stochastic analytic approaches in risk theory and quantitative risk management of equity-linked insurance. Over the recent years, he has dedicated his efforts to developing computational methods for managing market innovations in areas of investment combined insurance and retirement planning.

Download or read book Imperfect Hedging on Equity linked Life Insurance with Market Constraints written by Shuo Tong and published by . This book was released on 2014 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity-linked life insurance contracts are a type of investment product issued by insurance companies to provide the insured with more appealing benefits, compared with the traditional insurance policy. Such benefits are not only linked to the performance of the underlying investments in the financial market, but also related with some insurance type events, such as death and survival to the contract maturity. Therefore, the equity-linked life insurance contract includes both the financial risk generated from the performance of the risky assets and the insurance risk reflected by the policyholders' survival probability. In this thesis, we consider the problem of utilizing imperfect hedging techniques to value equity-linked life insurance contract with market restrictions: stochastic interest rate and transaction costs. We employ two powerful imperfect hedging techniques to investigate the problem - quantile hedging and efficient hedging. We show that they are effective tools for managing both financial and insurance risk inherent in equity-linked life insurance contracts in a stochastic interest rate economy. Moreover, we incorporate transaction costs in the analysis of quantile hedging on equity-linked life insurance contract. In chapter 2 and chapter 3, we hedge a single premium equity-linked life insurance contract with a stochastic guarantee from quantile and efficient hedging with a stochastic interest rate respectively. We present the explicit theoretical results for the premium of a contract paying the maximum of two risky asset values at maturity, providing the insured can survive to this date. These results allow the straightforward calculation of survival probabilities for the contract owner, which can quantify the insurance companies' mortality risk and target their potential clients. Meanwhile, the numerical examples illustrate the corresponding risk management strategies for insurance companies by applying quantile and efficient hedging. Chapter 4 analyzes the application of quantile hedging on equity-linked life insurance contracts in the presence of transaction costs. We obtain the explicit expressions for the expected present values of hedging errors and transaction costs. Furthermore, the estimated expected present values of hedging errors, transaction costs and total hedging costs are also computed from a simulation approach to compare with the theoretical ones. Finally, the quantile hedging costs of the contract's maturity guarantee inclusive of transaction costs are discussed.

Download or read book Pricing Equity linked Life Insurance with Endogenous Minimum Guarantees written by Anna Rita Bacinello and published by . This book was released on 1992 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On Valuation of Equity linked Life Insurance Products and Credibility Models written by 雍堯棣 and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equity linked Life Insurance written by Jørgen Aase Nielsen and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Design and Pricing of Equity Linked Life Insurance Under Stochastic Interest Rates written by Anna Rita Bacinello and published by . This book was released on 2001 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results of Aase and Persson (1994) and Ekern and Persson (1996), based on deterministic interest rates. Moreover, a design of a new equity-linked product with some appealing features is proposed and compared with the periodical premium contract of Brennan and Schwartz (1976). Our new product is very simple to price and may easily be hedged either by long positions in the mutual fund of linkage or by European call options on the same fund.

Download or read book Uniqueness of the fair premium for equity linked life insurance contracts written by Jørgen Aase Nielsen and published by . This book was released on 1996 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Single and Periodic Premiums for Guaranteed Equity linked Life Insurance Under Interest rate Risk the Lognormal Vasicek Case written by Anna Rita Bacinello and published by . This book was released on 1993 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: