Implicit Embedded Options in Life Insurance Contracts

A Market Consistent Valuation Framework

  • Nils Rüfenacht

Part of the Contributions to Management Science book series (MANAGEMENT SC.)

Table of contents

  1. Front Matter
    Pages i-xxv
  2. Nils Rüfenacht
    Pages 1-15
  3. Nils Rüfenacht
    Pages 41-82
  4. Nils Rüfenacht
    Pages 83-101
  5. Nils Rüfenacht
    Pages 145-149
  6. Back Matter
    Pages 151-167

About this book


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


Embedded Options in Life Insurances Market Consistent Valuation Stochastic Asset-Modulation

Authors and affiliations

  • Nils Rüfenacht
    • 1
  1. 1.BaselSwitzerland

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2012
  • Publisher Name Physica, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-7908-2842-9
  • Online ISBN 978-3-7908-2843-6
  • Series Print ISSN 1431-1941
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking