Efficient Hedging As Risk Management Methodology In Equity Linked Life Insurance
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Efficient Hedging As Risk Management Methodology In Equity Linked Life Insurance
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Author : Victoria Skornyakova
language : en
Publisher:
Release Date : 2011
Efficient Hedging As Risk Management Methodology In Equity Linked Life Insurance written by Victoria Skornyakova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Economics categories.
Efficient Hedging as Risk-Management Methodology in Equity-Linked Life Insurance.
Imperfect Hedging On Equity Linked Life Insurance With Market Constraints
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Author : Shuo Tong
language : en
Publisher:
Release Date : 2014
Imperfect Hedging On Equity Linked Life Insurance With Market Constraints written by Shuo Tong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Variable life insurance policies categories.
Equity-linked life insurance contracts are a type of investment product issued by insurance companies to provide the insured with more appealing benefits, compared with the traditional insurance policy. Such benefits are not only linked to the performance of the underlying investments in the financial market, but also related with some insurance type events, such as death and survival to the contract maturity. Therefore, the equity-linked life insurance contract includes both the financial risk generated from the performance of the risky assets and the insurance risk reflected by the policyholders' survival probability. In this thesis, we consider the problem of utilizing imperfect hedging techniques to value equity-linked life insurance contract with market restrictions: stochastic interest rate and transaction costs. We employ two powerful imperfect hedging techniques to investigate the problem - quantile hedging and efficient hedging. We show that they are effective tools for managing both financial and insurance risk inherent in equity-linked life insurance contracts in a stochastic interest rate economy. Moreover, we incorporate transaction costs in the analysis of quantile hedging on equity-linked life insurance contract. In chapter 2 and chapter 3, we hedge a single premium equity-linked life insurance contract with a stochastic guarantee from quantile and efficient hedging with a stochastic interest rate respectively. We present the explicit theoretical results for the premium of a contract paying the maximum of two risky asset values at maturity, providing the insured can survive to this date. These results allow the straightforward calculation of survival probabilities for the contract owner, which can quantify the insurance companies' mortality risk and target their potential clients. Meanwhile, the numerical examples illustrate the corresponding risk management strategies for insurance companies by applying quantile and efficient hedging. Chapter 4 analyzes the application of quantile hedging on equity-linked life insurance contracts in the presence of transaction costs. We obtain the explicit expressions for the expected present values of hedging errors and transaction costs. Furthermore, the estimated expected present values of hedging errors, transaction costs and total hedging costs are also computed from a simulation approach to compare with the theoretical ones. Finally, the quantile hedging costs of the contract's maturity guarantee inclusive of transaction costs are discussed.
Equity Linked Life Insurance
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Author : Alexander Melnikov
language : en
Publisher: CRC Press
Release Date : 2017-09-07
Equity Linked Life Insurance written by Alexander Melnikov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-07 with Business & Economics categories.
This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.
Efficient Hedging And Pricing Of Equity Linked Life Insurance Contracts On Several Risky Assets
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Author : Alexander Melnikov
language : en
Publisher:
Release Date : 2006
Efficient Hedging And Pricing Of Equity Linked Life Insurance Contracts On Several Risky Assets written by Alexander Melnikov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Hedging (Finance) categories.
Investment Guarantees
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Author : Mary Hardy
language : en
Publisher: John Wiley & Sons
Release Date : 2003-04-07
Investment Guarantees written by Mary Hardy and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-07 with Business & Economics categories.
A comprehensive guide to investment guarantees in equity-linked life insurance Due to the convergence of financial and insurance markets, new forms of investment guarantees are emerging which require financial service professionals to become savvier in modeling and risk management. With chapters that discuss stock return models, dynamic hedging, risk measures, Markov Chain Monte Carlo estimation, and much more, this one-stop reference contains the valuable insights and proven techniques that will allow readers to better understand the theory and practice of investment guarantees and equity-linked insurance policies. Mary Hardy, PhD (Waterloo, Ontario, Canada), is an Associate Professor and Associate Chair of Actuarial Science at the University of Waterloo and is a Fellow of the Institute of Actuaries and an Associate of the Society of Actuaries, where she is a frequent speaker. Her research covers topics in life insurance solvency and risk management, with particular emphasis on equity-linked insurance. Hardy is an Associate Editor of the North American Actuarial Journal and the ASTIN Bulletin and is a Deputy Editor of the British Actuarial Journal.
An Introduction To Computational Risk Management Of Equity Linked Insurance
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Author : Runhuan Feng
language : en
Publisher: CRC Press
Release Date : 2018-06-13
An Introduction To Computational Risk Management Of Equity Linked Insurance written by Runhuan Feng and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-13 with Business & Economics categories.
The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in traditional life and annuity products, insurers face unprecedented financial risks since the introduction of equity-linking insurance in 1960s. As the industry moves into the new territory of managing many intertwined financial and insurance risks, non-traditional problems and challenges arise, presenting great opportunities for technology development. Today's computational power and technology make it possible for the life insurance industry to develop highly sophisticated models, which were impossible just a decade ago. Nonetheless, as more industrial practices and regulations move towards dependence on stochastic models, the demand for computational power continues to grow. While the industry continues to rely heavily on hardware innovations, trying to make brute force methods faster and more palatable, we are approaching a crossroads about how to proceed. An Introduction to Computational Risk Management of Equity-Linked Insurance provides a resource for students and entry-level professionals to understand the fundamentals of industrial modeling practice, but also to give a glimpse of software methodologies for modeling and computational efficiency. Features Provides a comprehensive and self-contained introduction to quantitative risk management of equity-linked insurance with exercises and programming samples Includes a collection of mathematical formulations of risk management problems presenting opportunities and challenges to applied mathematicians Summarizes state-of-arts computational techniques for risk management professionals Bridges the gap between the latest developments in finance and actuarial literature and the practice of risk management for investment-combined life insurance Gives a comprehensive review of both Monte Carlo simulation methods and non-simulation numerical methods Runhuan Feng is an Associate Professor of Mathematics and the Director of Actuarial Science at the University of Illinois at Urbana-Champaign. He is a Fellow of the Society of Actuaries and a Chartered Enterprise Risk Analyst. He is a Helen Corley Petit Professorial Scholar and the State Farm Companies Foundation Scholar in Actuarial Science. Runhuan received a Ph.D. degree in Actuarial Science from the University of Waterloo, Canada. Prior to joining Illinois, he held a tenure-track position at the University of Wisconsin-Milwaukee, where he was named a Research Fellow. Runhuan received numerous grants and research contracts from the Actuarial Foundation and the Society of Actuaries in the past. He has published a series of papers on top-tier actuarial and applied probability journals on stochastic analytic approaches in risk theory and quantitative risk management of equity-linked insurance. Over the recent years, he has dedicated his efforts to developing computational methods for managing market innovations in areas of investment combined insurance and retirement planning.
Imperfect Hedging And Risk Management Of Equity Linked Life Insurance Contracts
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Author : Yuliya Romanyuk
language : en
Publisher:
Release Date : 2006
Imperfect Hedging And Risk Management Of Equity Linked Life Insurance Contracts written by Yuliya Romanyuk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Hedging (Finance) categories.
Benchmarked Risk Minimizing Hedging Strategies For Life Insurance Policies
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Author : Jin Sun
language : en
Publisher:
Release Date : 2019
Benchmarked Risk Minimizing Hedging Strategies For Life Insurance Policies written by Jin Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Traditional life insurance policies offer no equity investment opportunities for the premium paid, and suffer from low returns over the long insurance terms. Modern equity-linked insurance policies offer equity investment opportunities exposed to equity market risk. To combine the low-risk of traditional policies with the high returns offered by equity-linked policies, we consider insurance policies under the benchmark approach (BA), where the policyholders' funds are invested in the growth-optimal portfolio and the locally risk-free savings account. Under the BA, life insurance policies can be delivered at their minimal costs, lower than the classical actuarial theory predicts. Due to unhedgeable mortality risk, life insurance policies cannot be fully hedged. In this case benchmarked risk-minimization can be applied to obtain hedging strategies with minimally fluctuating pro fit and loss processes, where the fluctuations can further be reduced through diversification.
Risk Management Of Policyholder Behavior In Equity Linked Life Insurance
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Author : Anne MacKay
language : en
Publisher:
Release Date : 2015
Risk Management Of Policyholder Behavior In Equity Linked Life Insurance written by Anne MacKay and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The financial guarantees embedded in variable annuity (VA) contracts expose insurers to a wide range of risks, lapse risk being one of them. When policyholders' lapse behavior differs from the assumptions used to hedge VA contracts, the effectiveness of dynamic hedging strategies can be significantly impaired. By studying how the fee structure and surrender charges affect surrender incentives, we obtain new theoretical results on the optimal surrender region and use them to design a marketable contract that is never optimal to lapse.
Worst Case Valuation Of Equity Linked Products Using Risk Minimizing Strategies
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Author : Emmanuel Sekyere Osei Mireku
language : en
Publisher:
Release Date : 2020
Worst Case Valuation Of Equity Linked Products Using Risk Minimizing Strategies written by Emmanuel Sekyere Osei Mireku and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
The global market for life insurance products has been stable over the years. However, equity-linked products which form about fifteen percent of the total life insurance market has experienced a decline in premiums written. The impact of model risk when hedging these investment guarantees has been found to be significant . We propose a framework to determine the worst case value of an equity-linked product through partial hedging using quantile and conditional value-at-risk measures. The model integrates both the mortality and the financial risk associated with these products to estimate the value as well as the hedging strategy. We rely on robust optimization techniques for the worst case hedging strategy. To demonstrate the versatility of the framework, we present numerical examples of point-to-point equity-indexed annuities in multinomial lattice dynamics.