A class of life insurance reserve model and risk analysis in a stochastic interest rate environment

2010 ◽  
Vol 4 (2) ◽  
pp. 204-211
Author(s):  
Niannian Jia ◽  
Changqing Jia ◽  
Wei Qiu
Keyword(s):  
Interest Rate ◽  
Risk Analysis ◽  
Life Insurance ◽  
Stochastic Interest Rate ◽  
Stochastic Interest ◽  
Rate Environment

Pricing derivatives with barriers in a stochastic interest rate environment

2008 ◽  
Vol 32 (9) ◽  
pp. 2903-2938 ◽  
Author(s):  
Carole Bernard ◽  
Olivier Le Courtois ◽  
François Quittard-Pinon
Keyword(s):  
Interest Rate ◽  
Stochastic Interest Rate ◽  
Stochastic Interest ◽  
Rate Environment

Reserve of Semi-Continuous Life Insurance Model under Random Interest Rate

2014 ◽  
Vol 998-999 ◽  
pp. 1626-1629
Author(s):  
Jing Wei ◽  
Shi Gang Ge
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Poisson Process ◽  
Uniform Distribution ◽  
Life Insurance ◽  
Stochastic Interest Rate ◽  
Reflected Brownian Motion ◽  
Stochastic Interest ◽  
The Common ◽  
Insurance Model

In this paper, it aims at an n-year term increasing life insurance model, considers the factual statements and the bursting out things’ influence on interest rate, establishes the model for stochastic interest rate by Reflected Brownian motion associating with Poisson process, and gives the common expression of semi-continuous reserve and the expression in the suppose of Uniform distribution of death.

The Principal Principle

2012 ◽  
Vol 47 (6) ◽  
pp. 1215-1246 ◽  
Author(s):  
Sanjiv R. Das
Keyword(s):  
Interest Rate ◽  
Adverse Selection ◽  
Stochastic Interest Rate ◽  
Principal Principle ◽  
Present Value ◽  
Ability To Pay ◽  
Stochastic Interest ◽  
Rate Environment ◽  
Prepayment Option

AbstractI analyze optimal loan modification schemes in a stochastic home price and stochastic interest-rate environment. Lenders maximize loan values by managing the borrower’s option to default on the loan and prepayment option. Given negative equity, controlling for the borrower’s ability to pay, rate reductions and maturity extensions result in a higher probability of redefault by homeowners even after modification of their loans. In contrast, loan write-downs (the Principal Principle), not a favored recipe, are value maximizing for the lender. A shared-appreciation mortgage enhances the ability to pay, mitigates adverse selection, and reduces the present value of expected deadweight foreclosure costs.

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