Research Article
Managing re-investment risk
Author(s): Stephan Frischemeier*
Insurance contracts, especially from business lines life and health, are of economic nature, obviously by their usual term and real hedging claim. It is impossible to replicate the complete claim at capital markets ex-ante. In contrast to pure wealth management products, customers purchase and claim a dedicated economic benefit, they at least redeem when the insured event occurs.
This essay is primarily devoted to the formulation of an option-price for economic re-investment risk, which is undertaken in the economic horizon behind the so-called last liquid point (llp). Under, for financial mathematic models, common assumptions, risk can be measured by the formula
Where c stands for aggregate contractual cash-flow, p for stochastic or expected.. Read More»
DOI:
10.37532/2752- 8081.24.8(5).01-04
+447723598358
