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.
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|Titolo:||On a Fair Value Model for Partecipating Life Insurance Policies|
|Data di pubblicazione:||2006|
|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.|
|Appare nella tipologia:||01a Articolo in rivista|