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EnglishThe aim of this paper is to analyze both the term structure of interest and mortality rates role for evaluating a fair value of a life insurance business. In particular, a fair value accounting impact on reserve evaluations is discussed comparing a traditional deterministic model based on local rules for an Italian balance sheet calculation and a stochastic one based on a diffusion process for both mortality and financial risks. As proposed by IAS Board we will separate the embedded derivatives from their host contracts, so the fair value of a traditional life insurance contract would be expressed as the value of four components: the basic contract, the participation option, the option to annuitise and the surrender option. A numerical application to a traditional Italian life insurance policy is discussed.
On a Fair Value Model for Partecipating Life Insurance Policies / Baione, Fabio; DE ANGELIS, Paolo; Fortunati, A.. - In: INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. - ISSN 1810-4967. - STAMPA. - 2(2006), pp. 105-115.
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| Titolo: | On a Fair Value Model for Partecipating Life Insurance Policies |
| Autori: | |
| Data di pubblicazione: | 2006 |
| Rivista: | |
| Citazione: | On a Fair Value Model for Partecipating Life Insurance Policies / Baione, Fabio; DE ANGELIS, Paolo; Fortunati, A.. - In: INVESTMENT MANAGEMENT & FINANCIAL INNOVATIONS. - ISSN 1810-4967. - STAMPA. - 2(2006), pp. 105-115. |
| Handle: | http://hdl.handle.net/11573/17043 |
| Appartiene alla tipologia: | 01a Articolo in rivista |
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