Tid: 25 september 2006 kl 15.15-16.00
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Torsten Kleinow, Dept. of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh.
Titel: Fair Valuation of Participating Insurance Contracts with Interest Rate Guarantees
Sammanfattning: We consider the fair valuation of maturity guarantees for participating insurance policies. Such a policy can be seen as a path-dependent option whose underlying security is the investment portfolio of the insurance company which sold the policy. We consider the case in which the payoff of the policy depends on the development of the entire portfolio of the insurer. This means that the insurer can not set up a separate portfolio to hedge the risk associated with the policy, since any hedge portfolio would become part of the insurer's investment portfolio and would therefore change the law of the underlying security of the contract. Instead the insurer can use its discretion about its investment strategies to reduce or eliminate the risk associated with the policy. In that sense, the insurer's investment portfolio serves simultaneously as the underlying security and as the hedge portfolio. We will show how a risk-neutral price of these contracts can be calculated and how the management of the insurer can use its discretion about its investment strategy to hedge the contract if the financial market satisfies some assumptions.