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


This thesis is mainly motivated by the history of the Equitable Life that has shown how threatening embedded options and guarantees can become for the financial stability of an insurance company. The collapse of one of the oldest and most renowned life insurers as a result of its embedded options is, amongst others, one of the reasons that caused a far-reaching change in the local insurance supervisory and general accounting methodology taking place all over the world at the beginning of this century. As a consequence revised solvency frameworks like the SST in Switzerland or Solvency II in the EU request insurers to explicitly allow for embedded options and guarantees in the calculating of their solvency capital. Embedded options and guarantees are also a major concern within the framework of the MCEV, which is rather a valuation framework than a solvency framework.


Interest Rate Swap Rate Interest Rate Model Valuation Framework Solvency Capital 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  • Nils Rüfenacht
    • 1
  1. 1.BaselSwitzerland

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