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978-3-8439-0534-3, Reihe Mathematik
Pricing and Hedging of Unit-Linked Life Insurance Products
131 Seiten, Dissertation Carl von Ossietzky Universität Oldenburg (2012), Softcover, B5
For companies it is important to have reliable models for their assumed risks. On one hand it is important for the controlling of the sales department and on the other hand for regulative issues (solvency capital requirements). This work focuses on two aspects:
The financial risk of embedded options in life insurance products is analyzed in a continuous time model.
Hedging approaches are used to determine the risk capital required by life insurance products.