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1
Bureš, Petr. "Oceňování rodinných domů v pojišťovnictví." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2013. http://www.nusl.cz/ntk/nusl-232722.
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Master´s thesis addresses the issue of valuation of residental houses in the insurance field. The aim is not only to describe how the houses are valued for insurance purposes, but also highlight the potential risks of insurance. The first section contains general issues of property valuation, basic concepts and most frequently used method. Further follow-up of the work is already fully focused on valuation methods in the insurance field, the description of most used method and other selected methods. The practical part contains the valuation of selected house by cost way method, through the itemized budget and according to unit prices. After the valuation is dealt accuracy and elaborateness of selected methods and assessed the risks that may result in property price misused to influence.
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Fischer, Tom. "Valuation and risk management in life insurance." Phd thesis, [S.l. : s.n.], 2004. http://elib.tu-darmstadt.de/diss/000412.
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Fu, Xingran. "On valuation of non-hedgeable insurance risks." Thesis, Heriot-Watt University, 2007. http://hdl.handle.net/10399/2095.
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As the demand increases from the International Accounting Standards Board CIASB), there is correspondingly an increa..c:;ing interest in establishing a set of standard valuation approaches, which can give a clear measurement of the value of both liabilities and a..c:;sets. In the insurance industry, especially for the pensions providers and the life insurers, the importance of non-hedgable insurance risks, such as the longevity risks, is now being recognized. The appearance of insurance-linked securities provides some suitable hedging instruments to a..c:;sist the insurance r' institutions in managing these non-hedgable risk exposures. The aim of this thesis is to investigate the valuation of non-hedgable insurance risks and consider how the insurance institutions can use insura'nce-linked securities to hedge these risks. We start from a simple discrete multi-period market model. By issuing a new security, which can be viewed a..c:; an insurance liability, we are looking for the equilibrium price of the new a..c:;set. We will also use some pricing methods from financial mathematics, Le. risk minimization methods and the variance optimal martingale approach, to value the new asset.. We also introduce a set of approximate pricing methods based on power series expansions. Based on a two-factor stochastic mortality model, we simulate the price of a pension annuity. By using a linear approximation method, we bridge the gap between the discrete time model and continuous model. We extend the discrete market model to a continuous model, and we consider an investor with some future insurance liability. We use the martingale approach with a pension annuity as the numeraire and the stochastic optimal control method to find out the investor's optimal terminal wealth and the optimal trading portfolio process. By introducing a new asset, (that is, an insurance-linked security into the market model), we investigate how the investor can use the new asset to hedge the insurance risk, and how to benefit from the insurance-linked asset. We also consider some more complex asset models, such as a stochastic interest rate model, as well as a more complex and practical pension annuity model. We also investigate how the choice of a numeraire can simplify the calculation process by using a numeraire with,a general form.
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Mürmann, Alexander. "Financial and actuarial valuation of insurance derivatives." Thesis, London School of Economics and Political Science (University of London), 2002. http://etheses.lse.ac.uk/2103/.
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This dissertation looks into the interplay of financial and insurance markets that is created by securitization of insurance related risks. It comprises four chapters on both the common ground and different nature of actuarial and financial risk valuation. The first chapter investigates the market for catastrophe insurance derivatives that has been established at the Chicago Board of Trade in 1992. Modeling the underlying index as a compound Poisson process the set of financial derivative prices that exclude arbitrage opportunities is characterized by the market prices of frequency and jump size risk. Fourier analysis leads to a representation of price processes that separates the underlying stochastic structure from the contract's payoff and allows derivation of the inverse Fourier transform of price processes in closed form. In a market with a representative investor, market prices of frequency and jump size risk are uniquely determined by the agent's coefficient of absolute risk aversion which consequently fixes the price process on the basis of excluding arbitrage strategies. The second chapter analyzes a model for a price index of insurance stocks that is based on the Cramer-Lundberg model used in classical risk theory. It is shown that price processes of basic securities and derivatives can be expressed in terms of the market prices of risk. This parameterization leads to formulae in closed form for the inverse Fourier transform of prices and the conditional probability distribution. Financial spreads are examined in more detail as their structure resembles the characteristics of stop loss reinsurance treaties. The equivalence between a representative agent approach and the Esscher transform is shown and the financial price process that is robust to these two selection criteria is determined. Finally, the analysis is generalized to allow for risk processes that are perturbed by diffusion. In the third chapter an integrated market is introduced containing both insurance and financial contracts. The calculation of insurance premia and financial derivative prices is presented assuming the absence of arbitrage opportunities. It is shown that in contrast to financial contracts, there exist infinitely many market prices of risk that lead to the same premium process. Thereafter a link between financial and actuarial prices is established based on the requirement that financial prices should be consistent with actuarial valuation. This connection is investigated in more detail under certain premium calculation principles. The starting point of the final chapter is the Fourier technique developed in Chapters 1 and 2. It is the aim of this chapter to generalize the analysis to underlying Levy processes. Expressions for the conditional moments and probabilities based on these processes are derived and their inverse Fourier transforms are obtained in closed form. The representation of conditional moments and probabilities separates the stochastic structure from the deterministic dependence on the underlying Levy processes.
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Max, Claudia [Verfasser]. "Valuation and Value Creation of Insurance Intermediaries / Claudia Max." Frankfurt : Peter Lang GmbH, Internationaler Verlag der Wissenschaften, 2016. http://d-nb.info/1102805467/34.
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Widing, Björn, and Jimmy Jansson. "Valuation Practices of IFRS 17." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-224211.
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This research assesses the IFRS 17 Insurance Contracts standard from a mathematical and actuarial point of view. Specifically, a valuation model that complies with the standard is developed in order to investigate implications of the standard on financial statements of insurance companies. This includes a deep insight into the standard, construction a valuation model of a fictive traditional life insurance product and an investigation of the outcomes of the model. The findings show firstly that an investment strategy favorable for valuing insurance contracts according to the standard may conflict with the Asset & Liability Management of the firm. Secondly, that a low risk adjustment increases the contractual service margin (CSM) and hence the possibility of smoothing profits over time. Thirdly, that the policy for releasing the CSM should take both risk-neutral and real assumptions into account.I denna rapport ansätts redovisningsstandarden IFRS 17 Insurance Contracts utifrån ett matematiskt och aktuariellt perspektiv. En värderingsmodell som överensstämmer med standarden konstrueras för att undersöka standardens implikationer på ett försäkringsbolags resultaträkning. Detta inkluderar en fördjupning i standarden, konstruktion och modellering av en fiktiv traditionell livförsäkringsprodukt samt undersökning av resultaten från modellen. Resultaten visar att det finns en möjlig konflikt mellan investeringsstrategier som är gynnsamma med avseende på värdering enligt standarden och ett försäkringsbolags tillgångs- och skuldförvaltning. Vidare leder en låg riskjustering till en högre avtalsmässig servicemarginal (CSM) vilket ökar möjligheten att utjämna vinster över tid. Slutligen bör policyn för hur CSM frisläpps beakta både risk-neutrala och verkliga antaganden.
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Brown, Anthony Mark. "Risk and valuation at the interface of insurance and finance." Thesis, Imperial College London, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.414201.
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Haboub, Ahmad. "Essays on equity valuation and accounting conservatism for insurance companies." Thesis, Brunel University, 2017. http://bura.brunel.ac.uk/handle/2438/15823.
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This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.
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Murotani, Takahiro. "A study on anabelian geometry of complete discrete valuation fields." Doctoral thesis, Kyoto University, 2021. http://hdl.handle.net/2433/263442.
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Cetinkaya, Sirzat. "Valuation Of Life Insurance Contracts Using Stochastic Mortality Rate And Risk Process Modeling." Master's thesis, METU, 2007. http://etd.lib.metu.edu.tr/upload/3/12608214/index.pdf.
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In life insurance contracts, actuaries generally value premiums using deterministic mortality rates and interest rates. They have ignored them stochastically in most of the studies. However it is known that neither interest rates nor mortality rates are constant. It is also known that companies may encounter insolvency problems such as ruin, so the ruin probability need to be added to the valuation of the life insurance contracts process. Insurance companies should model their surplus processes to price some types of life insurance contracts and to see risk position. In this study, mortality rates and surplus processes are modeled and
financial strength of companies are utilized when pricing life insurance contracts.
11
Wong, Jonathan Waitak. "Valuation relevance of market value disclosures of debt securities in the insurance industry." Connect to resource, 1992. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1262609424.
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Armerin, Fredrik. "Aspects of cash flow valuation /." Doctoral thesis, Stockholm, 2004. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-76.
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Frisk, Johan, and Ulrika Gustafsson. "Environmental Valuation of the Menai Bay Conservation Area. : A Minor Field Study." Thesis, Umeå universitet, Nationalekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-59369.
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Guter-Sandu, Andrei. "Leveraging social value : multiple valuation logics in the field of social finance." Thesis, City, University of London, 2018. http://openaccess.city.ac.uk/20214/.
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What are the mechanisms behind the advance of financial actors, instruments, and models into the field of social policy design and delivery? Over the past couple of decades, the state’s function as provider of welfare and safety nets against various forms of socio-economic risk has been transformed not just by privatisation or downsizing, but also by the advent of alternative forms of social policy delivery. One example of the latter is social impact investment, a form of investing in social programmes with the intent of pursuing social (and environmental) impact alongside financial return, and yielding innovative financial instruments such as social impact bonds, social stocks, or community bonds. The emergence of this field is generally seen as an outcome of the broader process of financialisation. From this perspective, both financial return and social policy objectives can be achieved via the straightforward implementation of existing financial instruments and methodologies. However, the very process of implicating existing financial technologies in the sphere of the pursuit of social outcomes generates its own set of dynamics. This study focuses on these dynamics from the perspective of the valuation processes underpinning the emergence of social impact investment. It argues that as finance engulfs this field, it engages in a valuation process of fashioning and delineating a hybridised form of value – blended value – supporting its advance, which is distinctly separate, though not independent, from financial value creation. The result of this process is the concomitant proliferation of non-financial spaces of valuation, which come not to replace, but to accompany and support financialisation. In order to make this argument, it looks at the case of the valuation processes undergirding the launch of the world’s first social impact bond in 2010 in the UK. Besides providing an empirical account of the latter, it also makes a theoretical contribution to the literature on financialisation by deepening the understanding of the manner in which financial actors, instruments, and markets advance in non-financial realms.
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Osterhoff, Friedrich. "Patent Valuation in the Biotechnology Industry A comparative analysis of the effects of the field of biotechnological application on valuation practice /." St. Gallen, 2008. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05610423001/$FILE/05610423001.pdf.
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Berg, Isak, and Richard Stadig. "Market-consistent valuation of a pension product with guarantee in line with Solvency II : An applied case study to improve knowledge about how rationality and stressed conditions with respect to market- and insurance risk will impact the balance sheet." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-123141.
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Traditional pension products have today been replaced by products that are linked directly to the unit value of some kind of investment portfolio. These products contribute to more vulnerable situations for insurance companies in terms of uncertainties of future obligations. This master thesis aims to create a general valuation model in line with Solvency II regulation, which is able to value the best estimate of the insurance liability. The model will use a state model, stochastic scenario generator model and the Makeham function for estimating mortality intensity. An applied case study was conducted to evaluate how stressed market- and insurance conditions would impact the liability. Additional studies was performed to test how different degrees of rational behaviour among policyholders would impact the liability. The policyholder population was fictitious and consisted of 100 policyholders. The results illuminated that the degree of rationality had a relative significant impact on the insurance company's liability, as opposed of what impact trends in longevity had on the best estimate in a separated stress test. On the other hand, when stress testing market risk and trend in longevity at the same time, the non-linearity risk was relatively high. The results of this thesis indicated the importance of studying risks in a combined case and not only separately, and also that higher degree of rational behaviour among policyholders could lead to an increase in surrender of profit generated policyholders which in turn affected the insurance liability.
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Almezweq, Muhammad. "How does the life insurance business perform and behave : the case of the UK industry." Thesis, Brunel University, 2015. http://bura.brunel.ac.uk/handle/2438/10943.
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This thesis reviews the UK life insurance industry comprehensively in terms of performance and business behaviour. One major contribution of the thesis is to challenge the conventional view on evaluation of investment funds from a shareholders’ perspective. The accounting valuation techniques to evaluate investment from the policyholder’s perspective have not been advanced to the same extent as methods designed to evaluate investment from the shareholder’s perspective, due partly to the accounting complexity of the investment management. Against this context, the thesis develops a valuation method on the basis that policyholders’ basic expectation that their saved funds shall be invested with value growth higher than inflation in the real goods market, and the thesis takes this as the benchmark to assess the reported value of policyholders’ assets. The thesis employs this valuation to assess the performance of different life assurance products (conventional vs. modern) and examine whether the transformation (from conventional to modern) has any impact on insurer performance and behaviour. The thesis also examines whether product diversification impacts realised and unrealised investment income homogenously; the result suggests that the effect of product diversification on performance varies across different measurements of realised and unrealised gain. The second major contribution of the thesis is to test the validity of different output proxies and compare efficiency scores based ranking for competitive firms to the value creation based ranking. Overall, the thesis suggests that different output proxies give consistently similar ranking for competitive firms, and cost efficiency based on different proxies are closely related to conventional measurers of firm performance and value creation in terms of value and ranking.
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Unti, Marco <1981>. "The secondary market for life insurance policies in the United States market evolution and product valuation." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2010. http://amsdottorato.unibo.it/2432/.
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In this work we discuss the secondary market for life insurance policies in the United States of America. First, we give an overview of the life settlement market: how it came into existence, its growth prospects and the ethical issues it arises. Secondly, we discuss the characteristics of the different life insurance products present in the market and describe how life settlements are originated. Life settlement transactions tend to be long and complex transactions that require the involvement of a number of parties. Also, a direct investment into life insurance policies is fraught with a number of practical issues and entails risks that are not directly related to longevity. This may reduce the efficiency of a direct investment in physical policies. For these reasons, a synthetic longevity market has evolved. The number of parties involved in a synthetic longevity transaction is typically smaller and the broker-dealer transferring the longevity exposure will be retaining most or all of the risks a physical investment entails. Finally, we describe the main methods used in the market to evaluate life settlement investments and the role of life expectancy providers.
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Cathcart, Mark J. "Monte Carlo simulation approaches to the valuation and risk management of unit-linked insurance products with guarantees." Thesis, Heriot-Watt University, 2012. http://hdl.handle.net/10399/2598.
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With the introduction of the Solvency II regulatory framework, insurers face the challenge of managing the risk arising from selling unit-linked products on the market. In this thesis two approaches to this problem are considered: Firstly, an insurer could project the value of their liabilities to some future time using Monte Carlo simulation in order to reserve adequate capital to cover these with a high level of confidence. However, the complex nature of many liabilities means that valuation is a task requiring further simulation. The resulting `nested-simulation' is computationally inefficient and a regression-based approximation technique known as least-squares Monte Carlo (LSMC) simulation is a possible solution. In this thesis, the problem of configuring the LSMC method to efficiently project complex insurance liabilities is considered. The findings are illustrated by applying the technique to a realistic unit-linked life insurance product. Secondly, an insurer could implement a hedging strategy to mitigate their exposure from such products. This requires the calculation of market risk sensitivities (or `Greeks'). For complex, path-dependent liabilities, these sensitivities are typically estimated using simulation. Standard practice is to use a `bump and revalue' method. As well as requiring multiple valuations, this approach can be unreliable for higher order Greeks. In this thesis some alternative estimators are developed. These are implemented for a realistic unit-linked life insurance product within an advanced economic scenario generator model, incorporating stochastic interest rates and stochastic equity volatility.
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Brummett, Robert George. "Three essays on the effect of information on product valuation." [College Station, Tex. : Texas A&M University, 2006. http://hdl.handle.net/1969.1/ETD-TAMU-1029.
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GuimarÃes, Jairo de Carvalho. "Social responsibility in the field of brokerage Brazilian safe." Universidade Federal do CearÃ, 2009. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=15610.
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Taking the theme of Corporate Social Responsibility (CSR), this study was developed in the
Brazilian segment of the insurance brokerage that represents significant role in the economy.
In the theoretical framework, the Ethos Indicators (ETHOS, 2007) are used as a parameter.
Similarly, field research was conducted in four insurance brokers listed in the Ethos Institute
of Business and Social Responsibility, based in 2007. The objective of this research is to
investigate the stage of development of indicators related to the themes Values, Transparency
and Governance and Internal Public, which are part of the list of seven topics of the
questionnaire of the Ethos Institute. The cut made reflects the relevance of these themes and
their subthemes for the field in focus. This is a descriptive-exploratory research, conducted
through a survey. As for the results, it appears that although there is some concern to deepen
the practice of CSR, they are, in general, still in early stages, requiring, therefore, a
commitment of companies towards more effective actions. Of the two issues addressed, there
is concentration of actions in the Internal Public, through conduct targeted in relations with
officials, as seen in indicators related to the subtheme decent work. Despite the complexity of
the activity and the ethical underpinning to it, because it relies on a relationship of trust, the
insurance brokers show reluctance in terms of socially responsible practices, which indicates a
lack of awareness of the importance of this theme in their field of expertise. Because of the
broad horizon that represents the subject in the dynamic economy, future studies may
contribute to the further deepening of the subject in the activity of insurance brokerage,
encouraging other companies to join the CSR movement, enabling a new social reality to arise
in the segment.Tendo por tema a Responsabilidade Social Empresarial (RSE), este estudo foi desenvolvido no segmento brasileiro de corretagem de seguros que representa significativo papel na economia do paÃs. No referencial teÃrico, sÃo utilizados como parÃmetro os Indicadores Ethos (ETHOS, 2007). Do mesmo modo, na pesquisa de campo, sÃo investigadas as quatro corretoras de seguros listadas no Instituto Ethos de Empresas e Responsabilidade Social, base 2007. O objetivo da pesquisa à investigar o estÃgio de desenvolvimento dos indicadores relacionados aos temas Valores, TransparÃncia e GovernanÃa e PÃblico Interno, que fazem parte do rol de sete temas do questionÃrio do Instituto Ethos. O recorte feito reflete a relevÃncia destes temas e de seus subtemas para o campo em foco. Trata-se de uma pesquisa exploratÃria-descritiva, realizada mediante um survey. Quanto aos resultados, verifica-se que, embora haja uma certa preocupaÃÃo em se aprofundar as prÃticas de RSE, estas encontram-se, em geral, ainda em fase inicial, exigindo, portanto, das empresas um compromisso mais eficaz em direÃÃo Ãs aÃÃes. Dos dois temas abordados, hà concentraÃÃo de aÃÃes no PÃblico Interno, mediante conduta direcionada nas relaÃÃes com os funcionÃrios, conforme se và nos indicadores relacionados ao subtema trabalho decente. Apesar da complexidade da atividade e do cunho Ãtico que lhe à subjacente, dado que se assenta em uma relaÃÃo de confianÃa, os corretores de seguros demonstram timidez em termos de prÃticas socialmente responsÃveis, indicando desconhecerem a importÃncia deste tema em seu campo de atuaÃÃo. Em razÃo do vasto horizonte que o tema representa na dinÃmica econÃmica, estudos futuros podem contribuir para o aprofundamento do assunto ainda na atividade de corretagem de seguros, incentivando outras empresas a ingressarem no movimento da RSE, permitindo que uma nova realidade social imirja no segmento.
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Šindelářová, Kateřina. "Oceňování nemovitostí pro různé subjekty - analýza a komparace hodnot a přístupů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-17287.
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The graduation theses is focused on inspection and description of basic access to evaluation of real property in the Czech Republic, their analysis and comparison. The theoretical part is focused on the description of legislative adjustment for evaluation of real property, definition of basic terms and relations. It deals with role of international standards and their impact on national regulations. The attention is paid methodological rules of assessing property. The next part of study descibes basic approachs, methods and techniques for assessing real property for specific aims. It is intersted in market methods (on basis of comparison, yield and cost substitutions), evaluation in agreement with regulation of Ministry of Finance and assessing in insurance (approachs of the biggest insurer, brokerage firms and methods advises by specialists). The theoretical knowledges are in the following part apply to practical study of evaluation (the real estate is family house). It contains description of valuations. In the end of the graduation theses, the approachs are compared and analyzed factors, which influences the differences.
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Nešpor, Marek. "Stanovení výše pojistného plnění za škodu způsobenou živelnou událostí na rodinném domě v Břeclavi." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2019. http://www.nusl.cz/ntk/nusl-402590.
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The diploma thesis deals with the issue of determining the amount of indemnity for damage caused by a natural disaster. The introductory part is devoted to approaching the concepts related to valuation and insurance. The next part is devoted to familiarization with the object. Following is the valuation of the property by using the cost method at different times. For the valuation, the extent of the loss event is accurately defined, the cost of the repair and the insurance benefit resulting from the insurance contract are documented. The conclusion of the thesis is devoted to evaluation of achieved results and their graphical representation.
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Lamond, Jessica Elizabeth. "The impact of flooding on the value of residential property in the UK." Thesis, University of Wolverhampton, 2008. http://hdl.handle.net/2436/31427.
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Flooding of residential property is a real and growing phenomenon in the UK causing short and long-term detriment of various kinds to its victims. The issue of potential decrease in value of those properties which are located on the floodplain, though much discussed in the media, has received scant attention in the UK research literature. An extensive literature survey has revealed a need for methodological innovation in the field of temporal impact of flooding and the inadequacy of the current paradigms for inclusion of insurance into flood modelling. A wide-ranging review of data sources, including discussion with industry experts, has identified the requirement to generate primary data on the availability and cost of flood insurance. A novel framework has been developed for this research. This framework is an extension of the recent research in flood modelling and incorporates ideas from the wider house price analysis literature. Data collected via a questionnaire survey of householders has been combined with secondary data on property prices and flood designation in order to attribute any loss in property value to the correct vector of underlying flood status. The output from this study makes a contribution to the understanding of the impact of flooding on house prices, allowing for better valuation advice. Empirical findings are that the understandable concerns of residential property owners at risk of flooding regarding long term loss of property value are largely unfounded. Price discounts are observed for some recently flooded areas but they are temporary Improved appreciation of the impact of claims and flood risk on the cost of insurance has also emerged. The insurance market was not found to be instrumental in reducing the price of property. The output from the study also makes a methodological contribution in extending concepts relating to the relationship between flooding, insurance and house prices. This development is anticipated to facilitate refinement and updating of the empirical findings with reduced effort in the light of future events.
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Makaudze, Ephias M. "Do seasonal climate forecasts and crop insurance really matter for smallholder farmers in Zimbabwe? Using contingent valuation method and remote sensing applications." Connect to this title online, 2005. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1110389049.
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Thesis (Ph. D.)--Ohio State University, 2005.Title from first page of PDF file. Document formatted into pages; contains xiii, 155 p.; also includes map, graphics (some col.) Includes bibliographical references (p. 149-155). Available online via OhioLINK's ETD Center
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Hořelka, Michal. "Stanovení výše pojistného plnění za škodu na rodinném domě ve Zlíně způsobenou sesuvem půdy." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2013. http://www.nusl.cz/ntk/nusl-232768.
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This master’s thesis deals with the theme of the liquidation of the insurance claim on the particular family house, there is determined the amount of insurance benefits for the damage caused by landslides. In the first-theoretical part are explained the basic concepts related to the three main themes - valuation of real estates, bill of quantity method and insurance of real estates. The practical part is focused on the liquidation of a particular insurance event on a family house in Zlin. In the introductionof the practical part, the object is localized and the insurance event is described in detail, for comparing were dispatched valuation at different times. In conclusion of the part, there were the results compared and evaluated.
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Loureiro, Francisco Miguel Pires Nunes Tiago. "Risk analysis and solvency impact of the exposure of portuguese insurance and pension funds sector to the property market." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10549.
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Mestrado em Ciências ActuariaisA origem e consequências da crise financeira com início no verão de 2007 acentuaram as preocupações relativas aos impactos da exposição a ativos imobiliários na estabilidade do sistema financeiro. No âmbito da supervisão de empresas de seguros e fundos de pensões a ênfase centra-se na possível influência destes ativos na aferição das posições financeira e de solvência, e capacidade de cumprir responsabilidades por parte destas entidades. Este texto é o relatório de estágio curricular realizado na Autoridade de Supervisão de Seguros e Fundos de Pensões. O estudo subjacente, realizado em ambiente de Solvência II, visa a análise do investimento em ativos imobiliários pelas entidades supervisionadas, para deste modo salvaguardar os tomadores de seguros e beneficiários dos potenciais impactos deste mercado cíclico, gerador de risco sistémico e bolhas financeiras.
The origin and consequences of the financial crisis bursting in the summer of 2007 accentuate the concerns regarding the impacts of exposure to property linked assets in the stability of the financial system. In the scope of supervision of insurance companies and pension funds the emphasis lays upon the possible influence of these assets in the perception of such undertakings' financial and solvency positions, and capability to cover liabilities. This text is the report of a curricular internship developed in the Portuguese Insurance and Pension Funds Supervisory Authority. The underlying study, performed in the Solvency II environment, targets the analysis of property related investments of the supervised entities, aiming to protect policyholders and beneficiaries from the potential impacts of this cyclical market, generator of systemic risk and financial bubbles.
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Chen, Hua. "Contingent Claim Pricing with Applications to Financial Risk Management." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/rmi_diss/22.
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Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with non-tradable underlying assets, with emphasis on its applications to insurance and risk management. In the first essay, I apply the real option pricing theory and dynamic programming methods to address problems in the area of operational risk management. Particularly, I develop a two-stage model to help firms determine optimal switching triggers in the event of an influenza epidemic. In the second essay, I examine mortality securitization in an incomplete market framework. I build a jump-diffusion process into the original Lee-Carter model and explore alternative model with transitory versus permanent jump effects. I discuss pricing difficulties of the Swiss Re mortality bond (2003) and use the Wang transform to account for correlations of the mortality index over time. In the third essay, I study the valuation of the non-recourse provision in reverse mortgages. I model the various risks embedded in the HECM program and apply the conditional Esscher transform to price the non-recourse provision. I further examine the premium structure of HECM loans and investigate whether insurance premiums are adequate to cover expected claims.
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Guterstam, Rasmus, and Vidar Trojenborg. "Exploring a personal property pricing method in insurance context using multiple regression analysis." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-254300.
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In general, insurance companies and especially their clients face long and complicated claims processes where payments rarely, and almost reluctantly, are made the same day. A part of this slow moving procedure is the fact that in some cases the insurer has to value the personal property themselves, which can be a tedious process. In conjunction with the insurance company Hedvig, this project address this issue by examining a pricing model for a specific personal property; smartphones - one of the most common occurring claim types in the insurance context. Using multiple linear regression with data provided by PriceRunner, 10 key characteristics out of 91 where found to have significant explanatory power in predicting the market price of a smartphone. The model successfully simulates this market price with an explained variance of 90%. Furthermore this thesis illustrates an intuitive example regarding pricing models for personal property of other sorts, identifying limiting key components to be data availability and product complexity.I dagsläget står försäkringsbolag och deras kunder allt för ofta inför långa och komplicerade försäkringsärenden, där utbetalningar i regel aldrig sker samma dag. En del i denna långsamma och utdragna utbetalningsprocess är det faktum att försäkringsbolaget på egen hand måste uppskatta egendomens värde, vilket kan vara en mycket komplicerad process. I samarbete med försäkringsbolaget Hedvig undersöker denna rapport en värderingsmodell för ett av de vanligaste försäkringsärendena gällande personlig egendom, nämligen smartphones. Genom att använda multipel linjär regression med data försedd av PriceRunner har 10 av 91 nyckelfaktorer identifierats ha signifikant förklaringsgrad vid modellering av marknadsvärdet av en smartphone. Den framtagna modellen simulerar framgångsrikt marknadsvärdet med en 90-procentig förklaringsgrad av variansen. Vidare illustrerar denna rapport intuitiva riktlinjer för värderingsmodellering till andra typer av personlig egendom, samtidigt som den identifierar begränsande nyckelaspekter som exempelvis tillgången på data och egendomens inneboende komplexitet.
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SCHAFFER, MAURICIO VIDAL FRANCA. "CHECKING THE VALUE ADDITION ON THE VALUATION OF A DEVELOPMENT OIL FIELD USING REAL OPTIONS MODEL WITH OIL PRICES FOLLOWING A MEAN REVERSION PROCESS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2003. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=3700@1.
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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOREsta dissertação procura estudar os critérios de análise de investimentos baseados na metodologia do Valor Presente Líquido e de Opções Reais seguindo o processo estocástico de Reversão à Média fazendo uso de um caso prático na indústria de petróleo. O estudo de caso é a análise de viabilidade do desenvolvimento de um campo de petróleo onde as etapas de pesquisa e estudos já foram realizadas e que possue 3 alternativas de desenvolvimento à escolher. A partir deste estudo de caso será possível comparar através de uma ferramenta gerencial chamada de back-testing as análises de viabilidade realizadas. A dissertação tem como objetivo confirmar, com os resultados obtidos no back- testing, a geração de valor na utilização da teoria de opções reais que através da sua metodologia busca maximizar o valor do projeto pela inclusão de flexibilidades gerenciais neste caso uma opção de esperar até 2 anos.
This dissertation compares the criteria of investments analysis based on the methodology of the Discounted Cash Flow and of Real Options Models following a Mean Reversion stochastic process making use of a real case in the oil industry. This case study is about the viability of the development of an oil field where all the stages of research have already been carried out, with 3 alternatives of development to choose. From the results of this case study it will be possible to compare with the aid of a managerial tool called back- testing the Discounted Cash Flow with the Real Option Method. The dissertation has the goal to confirm, with the backtesting results, the generation of value created by the use of real options theory which maximizes the value of the project with the addition of managerial flexibilities represented by an option to wait up to 2 years.
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Zaderlíková, Šárka. "Možné způsoby stanovení hodnoty životní pojišťovny." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199085.
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This thesis is focused on describing chosen methods used in liabilities valuation of Life Insurance Company. This is the basis for a valuation of whole Insurance Company. Next goal is real valuation of liabilities and the whole company. The value of liabilities is computed with the Market Consistent Embedded Value methodology and valuation of the company is expresed with Appraisal Value, which is currently one of the most widely used methods for valuation of a life Insurance Company. The valuation is based on values of a fictious company, but the used insurance portfolio corresponds with real life data. The valuation is computed in pessimistic, middle and optimistic variant of company development. Closing this thesis is a sensitivity analysis of assumptions, influencing value of MCEV, where a change of the costs and commisions proved to be of most significance.
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Fornaroli, Érica Zancanella. "Corpos livres em anéis com divisão." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/45/45131/tde-04122007-134732/.
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Sejam $D$ um anel com divisão, $K$ um subanel com divisão de $D$ e $X$ um conjunto. O $D$-anel livre sobre $K$ em $X$, $D_K\\langle X angle=D\\underset{\\ast} K \\langle X angle$, possui um corpo universal de frações denominado corpo livre e denotado por $D_K\\X$. Neste trabalho fazemos uma investigação acerca de condições que, quando satisfeitas por um anel com divisão, sejam suficientes para garantir a existência de um subanel isomorfo a algum corpo livre não-comutativo, e também descrevemos famílias de anéis com divisão que satisfazem as condições encontradas. Os anéis com divisão que provamos conter um corpo livre são, em sua maioria, completamentos de corpos de frações de domínios noetherianos com topologia definida por uma valorização.Let $D$ be a division ring, $K$ a subfield of $D$ and $X$ a set. The $D$-free ring over $K$ on $X$, $D_K\\langle X angle=D\\underset{\\ast} K\\langle X angle$, has an universal field of fractions called a free field and denoted by $D_K\\X$. In this work we look into conditions which, when satisfied by a division ring, are sufficient to guarantee the existence of a subring isomorphic to some non-commutative free field, and we also describe families of division rings which satisfy the conditions that were found. The majority of the division rings that we proved to contain a free field are completions of fields of fractions of Noetherian domains with topology defined by a valuation.
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Tang, Ke-Ming, and 湯可名. "Valuation of Investment Guarantee Insurance Products." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/50417805258365832028.
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碩士東吳大學
財務工程與精算數學系
97
Based on the unsurance regulation, implentation of pricing and reserving for investment guarantee insurance products using Monte Carlo simulation are discussed. Regime-switching lognormal model (RSLN) is assumed to describe the investment return. In this paper, we adopt equivalence principle to calculate margin offset at risk neutral scenarios. Value at risk (VaR) and conditional tail expectation (CTE) are used to explore adequacy of margin offset. Reserving calculation follows the Actuarial Guideline (AG) draft from National Association of Insurance commissioners (NAIC). An numerical example is illustrated the calculation procedure. Finally, it is also discused the effect of the performance of products with regards to the state of capital market.
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Lin, Chia-Ming, and 林家銘. "Insurance Models Derivation and Valuation Analysis." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/91367984354060276418.
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碩士淡江大學
管理科學研究所碩士班
97
Suffering from banking crisis nowadays, new financial commodities are suspicious by many investors. Therefore, trading insurance commodities including pay insurance fee by whole payment or installment payment become trustworthy financial commodities by investors again. By way of the derivation of theoretical models and numerical analysis, several important finding are shown as below: First of all, the profit from traditional insurance policies is higher than other insurance policies. Secondly, the effect of initiative demand and induced demand are main concerns for price and profit of traditional policies and bonus policies. Thirdly, insurance companies might make progress to increase initiative demand and decrease induced demand to make maximum profit by adopting appropriate pricing strategy.
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CHEN, SI-RUI, and 陳思睿. "DNS Model and Life Insurance Valuation." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/c8c2wp.
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碩士東吳大學
財務工程與精算數學系
107
Following the Insurance Capital Standard established by the International Association of Insurance Supervisors, the Dynamic Nelson-Siegel (DNS) model is proposed to calibrate the interest rate risk. Many supervisors and insurers have begun to discuss the DNS model. This paper studies the fitting and forecast effects of the DNS model on the term structures of the interest rates of government bonds in US and Taiwan. We apply the DL-2-Step, SSM, DRA-unsmooth, and DRA-smooth methods to fit the parameters of the DNS model and forecast the term structure of interest rates. RMSE and MAPE are used to measure the fitting and forecasting efficiencies of different parameter fitting methods for different data periods. The numerical results show that the fitting and forecasting effects of different parameter fitting methods varies across different data periods. Overall, the fitting and forecasting efficiency of the DL-2-Step method is better than that of other methods used. This paper also discusses the optimum length of data periods for applying the DNS model to fit and forecast the term structure of the interest rates of government bond in Taiwan. The numerical results show that a longer data period produces more consistent results. The fitting and forecast results vary considerably across different data samples when shorter data periods are used. Further, we calculate the reserves of a ten-year term life insurance, with the yield curves that are obtained from the DNS model, for different data periods. The significant variation in the results for reserves shows that they will affect the use of funds by, and profitability of, insurers.
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Chen, Ying, and 陳穎. "Foreign Exchange Valuation Reserve of Insurance Company." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/2s53hb.
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碩士國立政治大學
風險管理與保險學系
107
The purpose of this paper is to analyze the volatility of surplus when using foreign exchange valuation reserve system. By using Monte-Carol method to simulate foreign exchange rate and setting different hedging cost ratio and exposure ratio, this paper measures the distribution of surplus with and without the system. The result shows, the volatility of surplus with the system is lower than that without system in every portfolio of hedging cost ratio and exposure ratio in each year. Meanwhile, the higher the fixed deposit ratio and additional deposit/withdraw ratio is, the more the scope of the volatility of surplus could decrease. Moreover, the result also indicates that using the system may help reduce hedging cost. When focusing on the same hedging cost ratio, the surplus with the system could be the same as the surplus without the system, but with more exposure ratio. However, the higher the hedging cost ratio is, the less the degree of exposure may be increased when using the system.
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Hung, Yu-huan, and 洪玉環. "Valuation of Surrender Option in Life Insurance." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/20457237791443623415.
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碩士國立高雄第一科技大學
金融研究所
101
This study discusses the surrender option value of traditional life insurance policy. Policyholder surrender option can be regarded as the American put option. This study is the use of Longstaff and Schwartz (2001) least-squares Monte Carlo model, and the CIR stochastic interest rate model to simulate the value of the policy surrender option. This model was added to the instant one''s strength and policy loyalty to discuss the impact of movements in interest rates on the policy surrender option price. The study finds that fluctuations in interest rates affect the surrender option value. When the expected future increases in interest rates, the surrender option value will increase. When the expected future interest rates fall, the surrender option value will decline. I hope that this evaluation model can be used as insurance companies assess policyholders billed costs or hedging strategy considerations in the future.
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Lin, Hui-ru, and 林慧如. "Valuation of Incremental Option in Life Insurance." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/98375084569770887448.
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碩士國立高雄第一科技大學
金融系碩士班金融組
103
Insurance contract provided the policyholder not only the safeguards by Contractually but also extra additional rights, For example：surrender insurance, reduce insured amount, increase insured amount, contract conversion. Many domestic and foreign literatures was to explore the option Surrender evaluated; in fact reduce insured amount and increase insured amount are belongs to change insured amount right. Incremental option is the policyholder purchase insurance contract which have original safeguards and receive an additional right to choice whether to increase insured amount. In this study used Least Squares Monte Carlo Simulation added stochastic interest rates and stochastic strength to calculate incremental option value. When policyholder obtained extra valuable incremental option at the same time insurers relative might have moral hazard and cost after executing. The finally conclusion obtained the change between long-term interest rates level and incremental option value which was reverse. When interest rates rise, the incremental option value would decrease.
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Chi, Tsung-Li, and 紀宗利. "The Valuation of Reverse Mortgage Insurance Contract." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/dc55jq.
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博士國立高雄第一科技大學
管理研究所
96
This dissertation analyzed the reverse mortgages in United States (U.S.) after building reverse mortgage insurance pricing model using the framework of European put options. The previous literature on mortgage valuation typically assumes that housing prices follow a geometric Brownian motion but the assumption of the change of housing price which evolve according to GBM has not provided a good fit for actual housing price data (Kuo,1996). Hence, this dissertation based on published U.S. housing prices data from Federal Housing Financial Board to set up a more realistic housing price model rather than assumed that housing prices follow a geometric Brownian motion. For empirical analysis the housing price follow MA(1) process and then apply the empirically estimated housing price model through the framework of European put options to build reverse mortgage insurance pricing model. According to pricing premium model, used it to calculate the fair reverse mortgage insurance premium to charge. This dissertation show that the stochastic model with realistic housing price model that follow MA (1) type process is fitter than stochastic model with GBM in modeling the reverse mortgage insurance contract when pricing insurance premium. It is true that the estimated coefficient of MA (1) type process has positive effects on the reverse mortgage insurance premium. That implied that insurance premium is overestimated and using stochastic model with GBM to evaluate the reverse mortgage insurance contract could cause significant mispricing. In numerical analysis, the reverse mortgage insurance pricing model with undetermined parameters: the findings are that all of the parameters of the survival probability ( ); the housing price, ; the volatility of housing price ; the estimated coefficient are important factors in determining the value of the reverse mortgage insurance premium. The housing price has negative effects on relationship reverse mortgage insurance premium. The other parameters have positive effects on relationship reverse mortgage insurance premium.
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Jao, Jui-Pao, and 饒瑞保. "Life Insurance Market in Mainland China and Valuation." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/26935066323098635494.
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碩士國立中央大學
財務金融學系碩士在職專班
93
Life insurance market in Mainland China will be the future market of Taiwan insurance. This thesis affords the market information about the Mainland China life insurance market and practice valuation of the life insurance company from actuarial report.
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Lin, Wen Ling, and 林文玲. "On admitted asset valuation principle of insurance industry." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/68588123002424551232.
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Gatzert, Nadine Verena. "Implicit options in life insurance : valuation and risk assessment /." 2007. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=016095567&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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CHIOU, JIUN FEI, and 丘駿飛. "The Contingent Claim Valuation of Property-Liability Insurance Contract." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/86907356527402421632.
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博士國立中山大學
企業管理研究所
83
The conventional actuarial models tend to reflect the loss distribution of the supply side on the insurance market i.e., the price of the insurance contract is determined unilaterally by the insurers so as to meet the least requirement that the insurers will not go bankrupt. However, there also exist some defectsin most of the fiancial pricing models.In order to regul- ate the pricing of property-liability insurance contracts, this study , based on the theory of contingent claim valuation, devel- ops the insurance pricing formulas, which will lead to fair insurnce pricing . Firstly, this stdy constructs a general valua- tion model for property-liability insurance contracts, which takes into account the cash flows consisting of both the claim indemnity and the investment income. Secondly, to obtain a closed form solution of the pricing formula , this study considers the specific case which the insurer confronts with the frgequency and the severity risk , and thence derives a pricing formula , into which the jumps incurred in claim indemnity are considered. The results show that the pricing of property-liability insurance contracts will depend on the ratio of the claim indemnity relat- ive to the the investment income. Furthermore, the jumps incurred in claim indemnity will exert significant impact upon both the assets and liabities of the insurer.Hence, the price of property- liability insurance contracts will also increase drastically with these jumps.
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Lee, Shu-Yi, and 李書儀. "Fair Valuation of Life Insurance Liabilities for Participating Policy." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/97636493582940337852.
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Chia-YuanLin and 林嘉沅. "Valuation of Bank Deposit Insurance with Counterparty Default Risk." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/pc3jqn.
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碩士國立成功大學
財務金融研究所碩士在職專班
104
This thesis focuses on the optimal value of European vulnerable put option on the fair premium of deposit insurance. In particular, it considers the other liabilities in the capital structure of the option writer, and if the proportion of other liabilities of the option writer is larger than the value of the option if financial distress occurs. In order to price the model of vulnerable put options, this study uses a three-dimensional binomial tree, log transformation and first-order Taylor series approximation to construct an appropriate formula. This thesis uses data from the annual reports of the CDIC and the financial institutions in Taiwan for the period 2010-2015. The results show that the other liabilities of the Federal Deposit Insurance Corporation (FDIC) have a significant effect on the deposit insurance premiums, and thus support the view that the options and other liabilities which should be considered in the capital structure of the FDIC when calculating the deposit insurance premium.
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"Valuation, hedging and the risk management of insurance contracts." Université catholique de Louvain, 2008. http://edoc.bib.ucl.ac.be:81/ETD-db/collection/available/BelnUcetd-06012008-175243/.
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Lin, Chi, and 林琪. "Monte Carlo Valuation of Surrender Option in Life Insurance." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/33250562605679430746.
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碩士國立高雄第一科技大學
金融系碩士班理財組
103
After the financial tsunami, Investment-oriented insurance products become less attractive due to the characteristic of financially autonomous cause investors experienced a great loss. Life insurance products which emphasize capital preservation become more popular than before. Therefore, life insurance companies may be affected if the interest rates change in the future. For example, investors may surrender their life insurance policies and ask for cash surrender value. This study will examine the surrender value on life insurance policies by using stochastic interest rate and mortality rates. We hope the result could provide life insurance companies in estimating the cost of policies in order to reduce the surrendered risk. The results show that surrender option value would become higher and would lead to surrender insurance policies if the level of interest rates and interest rate volatility getting higher or surrender costs and customer loyalty become lower. This would cause insurance companies sudden a great risk of liquidation.
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張智凱. "Fair Valuation of Participating Insurance Policies with Surrender Options." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/58351246152864180293.
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博士國立政治大學
統計研究所
94
Bacinello (2003a) employed Cox-Ross-Rubinstein model (CRR model, 1979) to numerically calculate the fair value of a participating policy containing a surrender option. Bacinello assumed a constant rate of return on risk-free assets. However, this study proposes a two-dimensional CRR model in a stochastic interest rate model as a means of providing a numerical method for contract pricing. The two-dimensional CRR model converges rapidly and achieves similar results to Monte Carlo simulation. Two-dimensional CRR models are used to analyze the importance and sensitivity of a stochastic interest rate model for the policy. Zero coupon bond volatility is an essential parameter in the surrender option, and reference portfolio volatility is important for pricing the participating option. The participating and surrender options are more valuable given upwards trending interest rates than constant or downwards trending rates.
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Liu, I.-Chien, and 劉議謙. "Valuation of Guaranteed Minimum Withdrawal Benefits for Insurance Products." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/824966.
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碩士東吳大學
商用數學系
96
In the research, we deal with financial valuation of guaranteed minimum withdrawal benefits（GMWB）. We assume the equity process underlying the GMWB follows a Geometric Brownian Motion（GBM）. GMWB is a kind of Asian option. Under the GBM process, this paper extends the study of Tsao, Chang and Lin（2003）and integrals the Taylor series expansion to derive analytic solutions for GMWB. Numerical experiments show that under some conditions analytic solutions sometimes perform very well and are efficient as benchmarked with large sample Monte Carlo simulation.
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Chen, Chih-Hsuan, and 陳志軒. "The Valuation of Participating Life Insurance Contracts under Levy Processes." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/86638651647339643523.
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