*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.