The 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.
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
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 |
Appare nella tipologia: | 01a Articolo in rivista |