Participating life insurances in an equity-Libor Market Model
(2024) , 28 pages
Files
ISBA_DP_2024-15.pdf
Open Access - Adobe PDF
- 949.58 KB
Details
- Authors
- Abstract
- This article introduces an Equity-Libor Market Model (LMM) that integrates the investment strategy into the valuation process of participating life insurance. Within this framework, we provide a semi-analytical formula for approximating the fair value of liabilities. We then investigate the impact of the investment policy on the net asset value and the solvency capital requirement. To carry out this analysis, we propose a Monte Carlo method for generating sample paths under both Libor and real measures, alongside an estimation procedure under the real measure. The numerical illustration focuses on the asset-liability management of an endowment and a life annuity.
- Affiliations
Citations
Hainaut, D., & Devineau, L. (2024). Participating life insurances in an equity-Libor Market Model (LIDAM Discussion Paper ISBA 2024/15). https://hdl.handle.net/2078.5/213591