Αποτίμηση και αντιστάθμιση κινδύνου συνταξιοδοτικών προγραμμάτων με τη χρήση παραγώγων προϊόντων
Πουλιάση, Χριστίνα Ε.
SubjectΑσφάλιση ; Συντάξεις ; Ασφάλεια ζωής ; Διαχείριση κινδύνου ; Insurance -- Contracts ; Insurance, Life -- Statistical methods ; Insurance, Life -- Mathematical models
This paper presents the pricing and the risk hedging of traditional and modern life insurance contracts in a stochastic environment. First, we analyze the actuarial models which are based on the initial principles of actuarial science, and then develop a more sophisticated one. The main purpose is to analyze the pricing models and the risk hedging of insurance contracts where the benefits are linked to a portfolio of equities and a minimum amount guaranteed is provided, known as Unit Linked contracts, Equity-Linked Insurance Contracts and Participating Life Insurance Contracts. Furthermore, this paper analyses the pricing and the risk hedging of the three different types of pension schemes, defined benefit, defined contribution and targeted money purchase, through a set of options and stochastic models. Finally, using spreadsheet-style software, the paper presents examples of the pricing of traditional life insurance products.