Valuation and Hedging in Insurance - Applications to Life and Non-Life Insurance Contracts

by Barbarin, Jérôme
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$91.20
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Barbarin, Jérôme Valuation and Hedging in Insurance - Applications to Life and Non-Life Insurance Contracts
Barbarin, Jérôme - Valuation and Hedging in Insurance - Applications to Life and Non-Life Insurance Contracts

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Description

This book consists of three parts. In the first
part, the author focus on the surrender option
embedded in life insurance contracts. He describes
the reduced-form approach for the modelling of the
time of surrender and the valuation of insurance
contracts embedding such option. He also studies in
great details the hedging strategies allowing to
mitigate the risk of such surrender options.

In the second part, the author introduces the
systematic mortality risk. He studies the valuation
and hedging of life insurance contracts in such
context as well as the pricing of longevity bonds.

Finally, in the third part, the author examines the
hedging of non life insurance contracts.

Contributors

Author:
Barbarin, Jérôme

Further information

Biography Artist:
Jérôme Barbarin has a Master in Business Engineering, a Master
in Actuarial Sciences and a Ph.D. in Sciences from the
Université Catholique de Louvain (Belgium).
Language:
English
Number of Pages:
168
Media Type:
Softcover
Publisher:
VDM Verlag Dr. Müller

Master Data

Product Type:
Paperback book
Release date:
April 3, 2009
Package Dimensions:
0.224 x 0.152 x 0.015 m; 0.249 kg
GTIN:
09783639123197
DUIN:
38VS4T32VCP
$91.20
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