English, Article, Journal or magazine article edition: Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management Giandomenico, Rossano

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Bookmark: http://trove.nla.gov.au/version/168527
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Pricing of the Policy Life in Absence of Default Risk and Asset Liability Management
Author
  • Giandomenico, Rossano
Physical Description
  • preprint
Notes
  • RePEc:pra:mprapa:15758
  • RePEc:pra:mprapa:14188
  • The model, by using the option theory, determines the fair value of the policies life in absence of default-risk and shows that the fair fixed guaranteed interest-rate is less than the risk-free interest-rate due to the exchange of options between policyholders and shareholders. Furthermore, it shows that the effective liabilities duration is different from the duration of a default-free zero coupon bond with the same time of maturity such that the equity value is immunized by using a perfect hedge ratio.
  • Contingent Claim, Duration
  • RePEc:pra:mprapa:15189
Language
  • English
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