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- W2412905260 abstract "Insurance contracts with guarantees have been issued by insurancecompanies for a long time. For example, in the 1970s and the 1980s,when the interest rate in the UK was as high as 15-20%, these contractswere issued with guaranteed rates of as high as 10%, thinkingthe interest rate levels would stay around the same. However, the interestrate decreased and, as of today, interest rate levels are aroundand even below zero, which has led to insolvency problems for manyinsurance companies. Currently, with the low interest rate environment,guaranteed rates are mostly oered at a zero guaranteed rate,but with a rising interest level in sight, these rates are likely to comeback into the market because of competitiveness reasons. To avoidsuch insolvency issues again, every risk in the contracts has to beidentied, and we have focused on the risk in the interest rate process.This thesis highlights the risk involving the parameter estimationof the interest rate process. It also demonstrates the large priceuctuations that occur from dierent types of yield curves and howit diers for dierent maturities. In these contracts, put options areembedded and a Fourier-Gauss-Laguerre model is used to price theoptions and we include both stochastic volatility and stochastic interestrate.Previous studies have shown that the parameter risk involving themortality estimation cannot be ignored and the results in this thesisconcludes that the uncertainty involved in the parameter estimationof the interest rate process canont be ignored either." @default.
- W2412905260 created "2016-06-24" @default.
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- W2412905260 date "2016-01-01" @default.
- W2412905260 modified "2023-09-23" @default.
- W2412905260 title "Modeling Life Insurance Guarantees" @default.
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- W2412905260 hasPublicationYear "2016" @default.
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