Chen, An: Risk Management of Life Insurance Contracts with Interest Rate and Return Guarantees and an Analysis of Chapter 11 Bankruptcy Procedure. - Bonn, 2007. - Dissertation, Rheinische Friedrich-Wilhelms-Universität Bonn.
Online-Ausgabe in bonndoc: https://nbn-resolving.org/urn:nbn:de:hbz:5-10414
@phdthesis{handle:20.500.11811/2771,
urn: https://nbn-resolving.org/urn:nbn:de:hbz:5-10414,
author = {{An Chen}},
title = {Risk Management of Life Insurance Contracts with Interest Rate and Return Guarantees and an Analysis of Chapter 11 Bankruptcy Procedure},
school = {Rheinische Friedrich-Wilhelms-Universität Bonn},
year = 2007,
note = {Equity-linked life insurance contracts are an example of theinterplay between insurance and finance. By considering some specific equity-linked life insurance contracts, this thesis mainly studies risk management methods, i.e., the insurance company hedges its exposure to risk by using certain conventional hedging criteria for an incomplete market, like risk-minimizing, quantile and efficient hedging. In addition to the untradable insurance risk, different sources of incompleteness are analyzed, such as the incompleteness from trading restrictions or from model misspecification. Furthermore, this thesis provides an insight to the net loss of the insurer, given that the insurer trades in the financial market according to risk-minimizing hedging criterion.
However, under no circumstances, the untradable insurance risk can be hedged completely, i.e., there always exists a positive probability that the considered insurance company defaults. In this context, the chapter before last is designed to consider the insurance company as an aggregate and to analyze the market value of this company if default risk and different bankruptcy procedures are taken into consideration. In this analysis, the mortality risk is neglected and no specific contracts are studied.},

url = {http://hdl.handle.net/20.500.11811/2771}
}

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