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Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees
Thesis (MSc)--Stellenbosch University, 2015
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| Format: | Thesis |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2015
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| _version_ | 1867613892298932224 |
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| access_status_str | Open Access |
| author | Leboho, Nakedi Wilson |
| author2 | Ghomrasni, Raouf |
| author_browse | Ghomrasni, Raouf Leboho, Nakedi Wilson |
| author_facet | Ghomrasni, Raouf Leboho, Nakedi Wilson |
| author_sort | Leboho, Nakedi Wilson |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MSc)--Stellenbosch University, 2015 |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/96980 |
| institution | Stellenbosch University (South Africa) |
| language | en_ZA |
| last_indexed | 2026-06-10T12:43:21.794Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/96980 Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees Leboho, Nakedi Wilson Ghomrasni, Raouf Stellenbosch University. Faculty of Science. Department of Mathematical Sciences Equity based insurance Investment-linked annuity Unit linked annuity UCTD Insurance -- Mathematical models Risk (Insurance) -- Mathematical models Thesis (MSc)--Stellenbosch University, 2015 ENGLISH ABSTRACT : Equity-based insurance guarantees also known as unit-linked annuities are annuities with embedded exotic, long-term and path-dependent options which can be categorised into variable and equity indexed annuities, whereby investors participate in the security markets through insurance companies that guarantee them a minimum of their invested premiums. The difference between the financial options and options embedded in equity-based policies is that financial ones are financed by the option buyers’ premiums, whereas options of the equity-based policies are financed by also continuous fees that follow the premium paid first by the policyholders during the life of the contracts. Other important dissimilarities are that equity-based policies do not give the owner the right to sell the contract, and carry not just security market related risk, but also insurance related risks such as the selection rate, behavioural, mortality, others and the systematic longevity. Thus equity-based annuities are much complicated insurance products to precisely value and hedge. For insurance companies to successfully fulfil their promise of eventually returning at least initially invested amount to the policyholders, they have to be able to measure and manage risks within the equity-based policies. So in this thesis, we do fair pricing of the variable and equity indexed annuities, then discuss management of financial market and insurance risks management. AFRIKAANSE OPSOMMING : Aandeel-gebaseerde versekering waarborg ook bekend as eenheid-gekoppelde annuiteite is eksotiese, langtermyn-en pad-afhanklike opsies wat in veranderlike en gelykheid geindekseer annuiteite, waardeur beleggers neem in die sekuriteit markte deur middel van versekering maatskappye wat waarborg hulle ’n minimum van geklassifiseer kan word hulle belˆe premies. Die verskil tussen die finansi¨ele opsies en opsies is ingesluit in aandele-gebaseerde beleid is dat die finansi¨ele mense is gefinansier deur die opsie kopers se premies, terwyl opsies van die aandele-gebaseerde beleid word deur ook deurlopende fooie wat volg op die premie wat betaal word eers deur die polishouers gefinansier gedurende die lewe van die kontrakte. Ander belangrike verskille is dat aandele-gebaseerde beleid gee nie die eienaar die reg om die kontrak te verkoop, en dra nie net markverwante risiko sekuriteit, maar ook versekering risiko’s, soos die seleksie koers, gedrags, sterftes, ander en die sistematiese langslewendheid. So aandeel-gebaseerde annuiteite baie ingewikkeld versekering produkte om presies waarde en heining. Vir versekeringsmaatskappye suksesvol te vervul hul belofte van uiteindelik ten minste aanvanklik belˆe bedrag terug te keer na die polishouers, hulle moet in staat wees om te meet en te bestuur risiko’s binne die aandeel-gebaseerde beleid. So in hierdie tesis, ons doen billike pryse van die veranderlike en gelykheid geïndekseer annuiteite, bespreek dan die bestuur van finansiele markte en versekering risiko’s bestuur. 2015-05-20T09:28:52Z 2015-05-20T09:28:52Z 2015-03 Thesis http://hdl.handle.net/10019.1/96980 en_ZA Stellenbosch University ix, 74 pages : illustrations application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Equity based insurance Investment-linked annuity Unit linked annuity UCTD Insurance -- Mathematical models Risk (Insurance) -- Mathematical models Leboho, Nakedi Wilson Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title | Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title_full | Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title_fullStr | Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title_full_unstemmed | Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title_short | Quantitative Risk Management and Pricing for Equity Based Insurance Guarantees |
| title_sort | quantitative risk management and pricing for equity based insurance guarantees |
| topic | Equity based insurance Investment-linked annuity Unit linked annuity UCTD Insurance -- Mathematical models Risk (Insurance) -- Mathematical models |
| url | http://hdl.handle.net/10019.1/96980 |
| work_keys_str_mv | AT lebohonakediwilson quantitativeriskmanagementandpricingforequitybasedinsuranceguarantees |