The aim of thi article is to analyze the term structure of interest rates role for evaluating a fair value of a life insurance business. In particular, we compare the fair value accounting impact on reserve evaluating using a constant interest rate and two stochastic processes: Vasicek and Cox Ingersol Ross models. An application to an endowment policy is presented.
Insurance liabilities fair value and term structure of interest rate: considerations and applications / DE ANGELIS, Paolo; M., Baldini. - STAMPA. - (2002), pp. 31-45.
Insurance liabilities fair value and term structure of interest rate: considerations and applications.
DE ANGELIS, Paolo;
2002
Abstract
The aim of thi article is to analyze the term structure of interest rates role for evaluating a fair value of a life insurance business. In particular, we compare the fair value accounting impact on reserve evaluating using a constant interest rate and two stochastic processes: Vasicek and Cox Ingersol Ross models. An application to an endowment policy is presented.File allegati a questo prodotto
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