Implicit Embedded Options in Life Insurance Contracts
Implicit Embedded Options in Life Insurance Contracts

Author: Nils Rüfenacht

Publisher: Springer Science & Business Media

Published: 2012-05-04

Total Pages: 187

ISBN-13: 3790828424

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This book presents a market-consistent valuation framework for implicit embedded options in life insurance contracts. This framework is used to perform an empirical analysis based on more than 110,000 actual and in-force life insurance policies and with a focus on the modeling of interest rates. Its results are the answer to the central question posed in the objectives: What value do the embedded options and guarantees considered have? This question is answered both absolutely and relative to the current policy reserves, from the perspective of the insurer, the policyholder and the shareholder respectively

American-Type Options
American-Type Options

Author: Dmitrii S. Silvestrov

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2015-03-03

Total Pages: 672

ISBN-13: 3110389908

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The book gives a systematical presentation of stochastic approximation methods for discrete time Markov price processes. Advanced methods combining backward recurrence algorithms for computing of option rewards and general results on convergence of stochastic space skeleton and tree approximations for option rewards are applied to a variety of models of multivariate modulated Markov price processes. The principal novelty of presented results is based on consideration of multivariate modulated Markov price processes and general pay-off functions, which can depend not only on price but also an additional stochastic modulating index component, and use of minimal conditions of smoothness for transition probabilities and pay-off functions, compactness conditions for log-price processes and rate of growth conditions for pay-off functions. The volume presents results on structural studies of optimal stopping domains, Monte Carlo based approximation reward algorithms, and convergence of American-type options for autoregressive and continuous time models, as well as results of the corresponding experimental studies.

Essays on Current Topics in Life Insurance
Essays on Current Topics in Life Insurance

Author: Gunther Kraut

Publisher: VVW GmbH

Published: 2015

Total Pages: 137

ISBN-13: 3862983269

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Das Buch erscheint in englischer Sprache. Das Buch widmet sich verschiedenen aktuellen Themen der Lebensversicherung, insbesondere dem Management von extremen Mortalitätsrisiken und dem Versicherungsnehmerverhalten. Am Beispiel illiquider Märkte für Katastrophenrisiken wird ein axiomatisch hergeleiteter Mechanismus entwickelt, der die Poolanteilsbestimmung in Risikotragegemeinschaften von mehreren Versicherungsunternehmen auf eindeutig bestimmte Weise fairer macht. Ein solcher Mechanismus könnte in bestimmten Marktsituationen dazu beitragen, vorhandene Marktkapazitäten effizienter zu nutzen und die sogenannte Grenze der Versicherbarkeit auszuweiten. Des Weiteren wird qualitativ untersucht, wie die Entwicklung solcher neuartigen Risikotransfertechniken durch die Versicherungsregulierung befördert oder behindert werden kann. Am Beispiel des Aufsichtsregimes Solvency II wird als Resultat dieser Analyse ein generisches internes Partialmodell entwickelt, das die Anerkennung gerade nicht-proportionaler Risikotransferinstrumente erleichtert und - wo sinnvoll - durch eine entsprechende Anreizsetzung erstrebenswert macht. Nach einem thematischen Sprung in die Welt der Sparprodukte wird zuletzt das dynamische Stornoverhalten von Versicherungsnehmern für sogenannte Variable-Annuity-Produkte empirisch untersucht. Auf verhaltensökonomischer Theorie aufbauend können Aussagen zur Finanzrationalität der Versicherungsnehmer gewonnen werden, die auch generelle Rückschlüsse auf die Bewertung von in Finanzprodukte eingebetteten Optionen durch Individuen zulassen. Durch diese breite thematische Aufstellung richtet sich das Buch sowohl an die Wissenschaft als auch an die Praxis. Insbesondere für Produktentwickler, Risikomanager und Aufseher sollten die gewonnenen Erkenntnisse von direktem Nutzen sein.

Life Insurance Risk Management Essentials
Life Insurance Risk Management Essentials

Author: Michael Koller

Publisher: Springer Science & Business Media

Published: 2011-05-04

Total Pages: 345

ISBN-13: 3642207219

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The aim of the book is to provide an overview of risk management in life insurance companies. The focus is twofold: (1) to provide a broad view of the different topics needed for risk management and (2) to provide the necessary tools and techniques to concretely apply them in practice. Much emphasis has been put into the presentation of the book so that it presents the theory in a simple but sound manner. The first chapters deal with valuation concepts which are defined and analysed, the emphasis is on understanding the risks in corresponding assets and liabilities such as bonds, shares and also insurance liabilities. In the following chapters risk appetite and key insurance processes and their risks are presented and analysed. This more general treatment is followed by chapters describing asset risks, insurance risks and operational risks - the application of models and reporting of the corresponding risks is central. Next, the risks of insurance companies and of special insurance products are looked at. The aim is to show the intrinsic risks in some particular products and the way they can be analysed. The book finishes with emerging risks and risk management from a regulatory point of view, the standard model of Solvency II and the Swiss Solvency Test are analysed and explained. The book has several mathematical appendices which deal with the basic mathematical tools, e.g. probability theory, stochastic processes, Markov chains and a stochastic life insurance model based on Markov chains. Moreover, the appendices look at the mathematical formulation of abstract valuation concepts such as replicating portfolios, state space deflators, arbitrage free pricing and the valuation of unit linked products with guarantees. The various concepts in the book are supported by tables and figures.

Insurance 4.0
Insurance 4.0

Author: Bernardo Nicoletti

Publisher: Springer Nature

Published: 2020-10-31

Total Pages: 542

ISBN-13: 3030584267

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Industry 4.0 has spread globally since its inception in 2011, now encompassing many sectors, including its diffusion in the field of financial services. By combining information technology and automation, it is now canvassing the insurance sector, which is in dire need of digital transformation. This book presents a business model of Insurance 4.0 by detailing its implementation in processes, platforms, persons, and partnerships of the insurance companies alongside looking at future developments. Filled with business cases in insurance companies and financial services, this book will be of interest to those academics and researchers of insurance, financial technology, and digital transformation, alongside executives and managers of insurance companies.

A Tea Reader
A Tea Reader

Author: Katrina Avila Munichiello

Publisher: Tuttle Publishing

Published: 2017-03-21

Total Pages: 256

ISBN-13: 9780804848992

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A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.

Communities in Action
Communities in Action

Author: National Academies of Sciences, Engineering, and Medicine

Publisher: National Academies Press

Published: 2017-04-27

Total Pages: 583

ISBN-13: 0309452961

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In the United States, some populations suffer from far greater disparities in health than others. Those disparities are caused not only by fundamental differences in health status across segments of the population, but also because of inequities in factors that impact health status, so-called determinants of health. Only part of an individual's health status depends on his or her behavior and choice; community-wide problems like poverty, unemployment, poor education, inadequate housing, poor public transportation, interpersonal violence, and decaying neighborhoods also contribute to health inequities, as well as the historic and ongoing interplay of structures, policies, and norms that shape lives. When these factors are not optimal in a community, it does not mean they are intractable: such inequities can be mitigated by social policies that can shape health in powerful ways. Communities in Action: Pathways to Health Equity seeks to delineate the causes of and the solutions to health inequities in the United States. This report focuses on what communities can do to promote health equity, what actions are needed by the many and varied stakeholders that are part of communities or support them, as well as the root causes and structural barriers that need to be overcome.

ERM and QRM in Life Insurance
ERM and QRM in Life Insurance

Author: Ermanno Pitacco

Publisher: Springer Nature

Published: 2020-08-25

Total Pages: 236

ISBN-13: 3030498522

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This book deals with Enterprise Risk Management (ERM) and, in particular, Quantitative Risk Management (QRM) in life insurance business. Constituting a “bridge” between traditional actuarial mathematics and insurance risk management processes, its purpose is to provide advanced undergraduate and graduate students in the Actuarial Sciences, Finance and Economics with the basics of ERM (in general) and QRM applied to life insurance business. The main topics dealt with are: general issues on ERM, risk management tools for life insurance and life annuities, deterministic and stochastic analysis of the behaviour of a portfolio fund, application of sensitivity testing to assess ranges of results of interest, stress testing to assess the impact of extreme scenarios, and the product development process for life annuity products.

Mathematical and Statistical Methods for Actuarial Sciences and Finance
Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author: Marco Corazza

Publisher: Springer

Published: 2014-08-06

Total Pages: 312

ISBN-13: 331902499X

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The interaction between mathematicians and statisticians has been shown to be an effective approach for dealing with actuarial, insurance and financial problems, both from an academic perspective and from an operative one. The collection of original papers presented in this volume pursues precisely this purpose. It covers a wide variety of subjects in actuarial, insurance and finance fields, all treated in the light of the successful cooperation between the above two quantitative approaches. The papers published in this volume present theoretical and methodological contributions and their applications to real contexts. With respect to the theoretical and methodological contributions, some of the considered areas of investigation are: actuarial models; alternative testing approaches; behavioral finance; clustering techniques; coherent and non-coherent risk measures; credit scoring approaches; data envelopment analysis; dynamic stochastic programming; financial contagion models; financial ratios; intelligent financial trading systems; mixture normality approaches; Monte Carlo-based methods; multicriteria methods; nonlinear parameter estimation techniques; nonlinear threshold models; particle swarm optimization; performance measures; portfolio optimization; pricing methods for structured and non-structured derivatives; risk management; skewed distribution analysis; solvency analysis; stochastic actuarial valuation methods; variable selection models; time series analysis tools. As regards the applications, they are related to real problems associated, among the others, to: banks; collateralized fund obligations; credit portfolios; defined benefit pension plans; double-indexed pension annuities; efficient-market hypothesis; exchange markets; financial time series; firms; hedge funds; non-life insurance companies; returns distributions; socially responsible mutual funds; unit-linked contracts. This book is aimed at academics, Ph.D. students, practitioners, professionals and researchers. But it will also be of interest to readers with some quantitative background knowledge.

Distribution of Insurance-Based Investment Products
Distribution of Insurance-Based Investment Products

Author: Pierpaolo Marano

Publisher: Springer

Published: 2019-03-27

Total Pages: 259

ISBN-13: 3030116689

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The book addresses a topic at the intersection of two heavily regulated sectors: insurance and investment services. Until recently, scholars and professionals have approached insurance and investment services as two separate categories in the financial services sector, and as being governed by separate regulatory frameworks. In practice, however, the boundaries were and are blurred, a reality that regulators have begun to recognize and address in their more recent regulatory texts. The first part of the book approaches the new standards applicable to investment products based on insurance: insurance-based investment products (IBIPs). These rules are harmonized across the EU. The rationale behind this new definition is provided, together with a description of these products’ limitations. The analysis addresses the new rules and explores the legal regime and relevant standards applicable to IBIPs. The organizational rules concerning the design and distribution of IBIPs are also examined, and the book highlights e.g. how these rules are inspired by the principles of conduct. In closing, the ADR systems are analysed, in order to ascertain whether or not they can offer an effective tool for settling disputes over these products. In turn, the second part focuses on the liability for distribution of IBIPs, which ranks as one of the most conspicuous and relatively new legal phenomena, but at the same time, represents an exceptionally important field of civil liability in today’s world. Liability is still regulated at the national level. Thus, the four largest life insurance markets in the EU are considered, along with the largest emerging market for life insurance. The chapters on national laws also consider whether, and if so, how the new harmonized rules on IBIPs are being combined with those already in force in the jurisdictions considered. The goal is to determine whether the new rules are likely to change the doctrine and case law approach to these products, or whether the European legislators’ choices have no real impact on the protection of clients.