Valuation and Hedging in Insurance
Applications to Life and Non-Life Insurance Contracts
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This book consists of three parts. In the first part, the author focus on the surrender option embedded in life insurance contracts. He describes the reduced-form approach for the modelling of the time of surrender and the valuation of insurance contracts embedding such option. He also studies in great details the hedging strategies allowing to mitigate the risk of such surrender options.In the second part, the author introduces the systematic mortality risk. He studies the valuation and hedging of life insurance contracts in such context as well as the pricing of longevity bonds.Finally, in t...
This book consists of three parts. In the first
part, the author focus on the surrender option
embedded in life insurance contracts. He describes
the reduced-form approach for the modelling of the
time of surrender and the valuation of insurance
contracts embedding such option. He also studies in
great details the hedging strategies allowing to
mitigate the risk of such surrender options.
In the second part, the author introduces the
systematic mortality risk. He studies the valuation
and hedging of life insurance contracts in such
context as well as the pricing of longevity bonds.
Finally, in the third part, the author examines the
hedging of non life insurance contracts.
part, the author focus on the surrender option
embedded in life insurance contracts. He describes
the reduced-form approach for the modelling of the
time of surrender and the valuation of insurance
contracts embedding such option. He also studies in
great details the hedging strategies allowing to
mitigate the risk of such surrender options.
In the second part, the author introduces the
systematic mortality risk. He studies the valuation
and hedging of life insurance contracts in such
context as well as the pricing of longevity bonds.
Finally, in the third part, the author examines the
hedging of non life insurance contracts.
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