Market-consistent valuation of a pension product with guarantee in line with Solvency II : An applied case study to improve knowledge about how rationality and stressed conditions with respect to market- and insurance risk will impact the balance sheet.
Traditional pension products have today been replaced by products that are linked directly to the unit value of some kind of investment portfolio. These products contribute to more vulnerable situations for insurance companies in terms of uncertainties of future obligations. This master thesis aims...
| Main Authors: | , |
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för matematik och matematisk statistik
2016
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| Subjects: | |
| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-123141 |