• No results found

Investment Strategies and Risk Management for Participating Life Insurance Contracts

N/A
N/A
Protected

Academic year: 2019

Share "Investment Strategies and Risk Management for Participating Life Insurance Contracts"

Copied!
25
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Table 1: Parameter set for the numerical example implemented in section 4.
Table 2: Market consistent price of the options embedded in the participating contract forThe table also reports the “fair” value of the terminal bonus ratesolution to Equation (7) and the safety loading rate as defined in Equation (9)
Figure 1: The optimal asset allocation for different values of the participation rate β (panela), the minimum guarantee rG (panel b) and the target parameter h (panel c)
Table 4: Stress testing: 1-year probability of default originated by a) a 10% increase in theequity volatility, and b) a 1% reduction in the interest rate
+5

References

Related documents

Field experiments were conducted at Ebonyi State University Research Farm during 2009 and 2010 farming seasons to evaluate the effect of intercropping maize with

Proprietary Schools are referred to as those classified nonpublic, which sell or offer for sale mostly post- secondary instruction which leads to an occupation..

Quality: We measure quality (Q in our formal model) by observing the average number of citations received by a scientist for all the papers he or she published in a given

Furthermore, while symbolic execution systems often avoid reasoning precisely about symbolic memory accesses (e.g., access- ing a symbolic offset in an array), C OMMUTER ’s test

○ If BP elevated, think primary aldosteronism, Cushing’s, renal artery stenosis, ○ If BP normal, think hypomagnesemia, severe hypoK, Bartter’s, NaHCO3,

Results suggest that the probability of under-educated employment is higher among low skilled recent migrants and that the over-education risk is higher among high skilled

I wish to extend a very warm welcome to all members of the school community for the 2021 school year; and a particularly warm welcome to students and parents who