Show simple item record

dc.contributor.advisorDhaene, Jan
dc.contributor.advisorFinkelstein, Maxim
dc.contributor.authorBekker, Kobus Nel
dc.date.accessioned2017-10-25T05:54:51Z
dc.date.available2017-10-25T05:54:51Z
dc.date.issued2010-11
dc.identifier.urihttp://hdl.handle.net/11660/7356
dc.description.abstractInvestment guarantees in life insurance business have generated a lot of research in recent years due to the earlier mispricing of such products. These guarantees generally take the form of exotic options and are therefore difficult to price analytically, even in a simplified setting. A possible solution to the risk management problem of investment guarantees contingent on death and survival is proposed through the use of a conditional lower bound approximation of the corresponding embedded option value. The derivation of the conditional lower bound approximation is outlined in the case of regular premiums with asset-based charges and the implementation is illustrated in a Black-Scheles-Merton setting. The derived conditional lower bound approximation also facilitates verifying economic scenario generator based pricing and valuation, as well as sensitivity measures for hedging solutions.en_ZA
dc.language.isoenen_ZA
dc.publisherUniversity of the Free Stateen_ZA
dc.subjectLife insuranceen_ZA
dc.subjectLife insurance -- Mathematicsen_ZA
dc.subjectLife insurance -- Risk assessmenten_ZA
dc.subjectInsurance -- Statisticsen_ZA
dc.subjectThesis (Ph.D. (Mathematical Statistics))--University of the Free State, 2010en_ZA
dc.titleActuarial risk management of investment guarantees in life insuranceen_ZA
dc.typeThesisen_ZA
dc.rights.holderUniversity of the Free Stateen_ZA


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record