Zusammenfassung
In dieser Arbeit untersuchen wir den Wert der Abrufoption einer Kapital-Lebensversicherung. Diese Option gibt dem Versicherungsnehmer das Recht, den Versicherungsvertrag vor dem vereinbarten Ablauftermin zu beenden. Die Option ist im Wesentlichen äquivalent zu einer Bermuda Put-Option auf einen Kupon-Bond. Wir bewerten die Option in einem Hull-White Modell. Weiterhin führen wir umfangreiche Sensitivitätsanalysen bezüglich der Parameter des Versicherungsvertrages und des Kapitalmarktes durch
Summary
In the present paper we analyze the value of a flexible expiration option in endowment contracts. This option gives the policy-holder the rigth to terminate his policy before the regular expiration. The option is essentially equivalent to a Bermuda put option on a coupon bond. We evaluate the option within a Hull-White model framework and give empirical results. Furthermore, we perform extensive sensitivity analysis with respect to parameters of the insurance contract, as well as capital market parameters.
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Dillmann, T., Ruß, J. Implicit options in life insurance contracts. Blätter DGVFM 25, 225–235 (2001). https://doi.org/10.1007/BF02809050
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DOI: https://doi.org/10.1007/BF02809050