Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products

Detalhes bibliográficos
Autor(a) principal: Pimentel, Pedro
Data de Publicação: 2011
Outros Autores: Pereira, Ricardo
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.3/4977
Resumo: This paper aims to value a Guaranteed Investment Contract (GIC), offered by insurance companies, with a minimum rate of return and an option to surrender the contract (surrender option) at any time before the maturity date. The valuation framework uses a set of different models to value each one of these two options included on a GIC contract commercialized by a Portuguese financial group. We estimate that the surrender option value is around 1.18 percent of the net premium and that the value for the minimum guaranteed rate of return option varies between 0 an 7 percent, according to the used model.
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spelling Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance productsGuaranteed Investment ContractsInsuranceOptionsThis paper aims to value a Guaranteed Investment Contract (GIC), offered by insurance companies, with a minimum rate of return and an option to surrender the contract (surrender option) at any time before the maturity date. The valuation framework uses a set of different models to value each one of these two options included on a GIC contract commercialized by a Portuguese financial group. We estimate that the surrender option value is around 1.18 percent of the net premium and that the value for the minimum guaranteed rate of return option varies between 0 an 7 percent, according to the used model.Universidade dos AçoresRepositório da Universidade dos AçoresPimentel, PedroPereira, Ricardo2019-01-25T10:48:48Z2011-012011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.3/4977engPimentel, Pedro; Pereira, Ricardo (2011). Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products, “Working Paper Series”, nº 2/11, 18 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2022-12-20T14:33:15Zoai:repositorio.uac.pt:10400.3/4977Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:27:17.238314Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
title Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
spellingShingle Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
Pimentel, Pedro
Guaranteed Investment Contracts
Insurance
Options
title_short Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
title_full Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
title_fullStr Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
title_full_unstemmed Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
title_sort Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products
author Pimentel, Pedro
author_facet Pimentel, Pedro
Pereira, Ricardo
author_role author
author2 Pereira, Ricardo
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade dos Açores
dc.contributor.author.fl_str_mv Pimentel, Pedro
Pereira, Ricardo
dc.subject.por.fl_str_mv Guaranteed Investment Contracts
Insurance
Options
topic Guaranteed Investment Contracts
Insurance
Options
description This paper aims to value a Guaranteed Investment Contract (GIC), offered by insurance companies, with a minimum rate of return and an option to surrender the contract (surrender option) at any time before the maturity date. The valuation framework uses a set of different models to value each one of these two options included on a GIC contract commercialized by a Portuguese financial group. We estimate that the surrender option value is around 1.18 percent of the net premium and that the value for the minimum guaranteed rate of return option varies between 0 an 7 percent, according to the used model.
publishDate 2011
dc.date.none.fl_str_mv 2011-01
2011-01-01T00:00:00Z
2019-01-25T10:48:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.3/4977
url http://hdl.handle.net/10400.3/4977
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Pimentel, Pedro; Pereira, Ricardo (2011). Evaluation of the surrender and the minimum guaranteed rate of return options in life insurance products, “Working Paper Series”, nº 2/11, 18 pp.. Ponta Delgada: Universidade dos Açores, CEEAplA-A.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade dos Açores
publisher.none.fl_str_mv Universidade dos Açores
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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