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Valuation and Hedging in Insurance

by Jérôme Barbarin
Save 12% Save 12%
Current price ₹6,273.00
Original price ₹7,140.00
Original price ₹7,140.00
Original price ₹7,140.00
(-12%)
₹6,273.00
Current price ₹6,273.00

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Book cover type: Paperback
  • ISBN13: 9783639123197
  • Binding: Paperback
  • Subject: N/A
  • Publisher: VDM Verlag
  • Publisher Imprint: VDM Verlag
  • Publication Date:
  • Pages: 168
  • Original Price: GBP 56.44
  • Language: English
  • Edition: N/A
  • Item Weight: 254 grams
  • BISAC Subject(s): General

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.

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