Author: Export-Import Bank of WashingtonPublisher:
ISBN:
Category : Exports
Languages : en
Pages : 11
Book Description
Guaranties, Interest Rates, Insurance
Author: Export-Import Bank of WashingtonPublisher:
ISBN:
Category : Exports
Languages : en
Pages : 11
Book Description
Guaranties, Interest Rates, Insurance
Author: On Financial Guarantee Insurance Under Stochastic Interest Rates
Author: Van Son LaiPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the incorporation of stochasticity of interest rates on the valuation of both public and private guarantees.
Property-casualty Insurance Guaranty Funds and Insurer Vulnerability to Misfortune
Author: Tim C. OplerPublisher:
ISBN:
Category : Day trading (Securities)
Languages : en
Pages : 698
Book Description
On Financial Guarantee Insurance Under Stochastic Interest Rates
Author: Van Son LaiPublisher: Québec : Direction de la recherche, Faculté des sciences de l'administration, Université Laval
ISBN:
Category :
Languages : en
Pages : 30
Book Description
Pension Benefit Guaranty Corporation
Author: United States. General Accounting OfficePublisher:
ISBN:
Category : Pension trusts
Languages : en
Pages : 68
Book Description
Summary of Requirements for Insurance Or Guaranty of F.H.A. and V.A. Mortgage Loans
Author: American Bankers AssociationPublisher:
ISBN:
Category :
Languages : en
Pages : 48
Book Description
Reserve Requirements with Respect to Interest Rate Guarantees on Active Life Funds Held Relative to Group Annuity Contracts
Author: Illinois. Department of Insurance. Val and NFV Task ForcePublisher:
ISBN:
Category : Annuities
Languages : en
Pages : 10
Book Description
International Comparison of Interest Rate Guarantees in Life Insurance Contracts
Author: J David CumminsPublisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
Minimum interest rate guarantees are included in life insurance products in most countries, but the exact implementations of the guarantees vary significantly across countries. In this paper we develop models of interest rate guarantees in Denmark, Germany, Norway, the U.K., and the U.S. by constructing contracts designed to capture practices in each country. The European contracts include rather sophisticated investment surplus distribution mechanisms, whereas the U.S. contracts are simpler and do not involve an explicit bonus account. The models are compared empirically using simulation analysis. For low volatilities, the payoffs from the Danish, German and U.K. contracts are surprisingly similar to the payoff from the market index. However, for higher levels of volatility the contracts noticeably truncate the lower tail of the index return distribution. The U.S. and Norwegian contracts offer the lowest risk of all contracts but also have the lowest expected returns. Thus, investors in life insurance products encounter significantly different risk-return profiles depending on country of origin.
Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance
Author: David SchragerPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We derive general pricing formulas for Rate of Return Guarantees in Regular Premium Unit Linked Insurance under stochastic interest rates. Our main contribution focusses on the effect of stochastic interest rates. First, we show the effect of stochastic interest rates can be interpreted as, what is known in the financial community as, a convexity correction. Second we link the LIBOR Market Model to our model of the economy. This allows us to find guarantee prices consistent with observed cap and swaption prices. Numerical results show the effect of this more sophisticated interest rate modelling is considerable. We also consider ways of approximating Asian option values through tight bounds. We show that we can obtain accurate bounds in spite of the high volatility induced by the long maturities of the guarantees.