Fair Valuation of Embedded Options in Participating Life Insurance Policies

摘要: Participating life insurance contracts are characterized by a minimum interest rate guarantee and pay dividends to its policyholder based on how well the issuing company is doing. These endowments that contain implicit options-like features such as guarantees, stochastic annual surplus participation, terminal bonus surrender option. The stable returns obtained through combination of guaranteed benefits non-guaranteed bonuses paid policyholders. In existing literature options priced under strong assumptions, constant rates, only take univariate risk factors, stock prices, into account. this thesis, we investigate impact term structure, long-term investment, price inflation, mortality, behavior implication multivariate fair pricing single premium policy. contract can be applying risk-neutral valuation methods Monte Carlo simulation. Keywords: contract; Risk-neutral valuation; Embedded option, Bonus distribution; Interest risk; Inflation Lee-Carter mortality model; Surrender option; Multivariate simulation.