The paper concerns the case of the insured loan based on an amortization schedule at variable interest rates, hooked at opportune rate indexes. Using the cash flow structure as a basis, the aim is the evaluation of the mathematical provision of a portfolio in a fair value approach. In this environment, the complexity of the life insurance contract market leads to practical valuation management focused on the choice of the most suitable mortality table and discounting process. A numerical application is proposed, for comparing the reserve fair values referred to two insured loans based on an amortization schedule, the first calculated at a fixed rate and the second, the alternative offered in the market, at a variable rate. © Springer 2008, Milan.
Remarks on insured loan valuations / Coppola, Mariarosaria; D'Amato, V.; Sibillo, M.. - STAMPA. - (2008), pp. 91-98. (Intervento presentato al convegno 2nd Conference on Mathematical and Statistical Methods in Insurance and Finance, MAF 2006 tenutosi a Salerno, ita nel 2006) [10.1007/978-88-470-0704-8_12].
Remarks on insured loan valuations
COPPOLA, MARIAROSARIA;
2008
Abstract
The paper concerns the case of the insured loan based on an amortization schedule at variable interest rates, hooked at opportune rate indexes. Using the cash flow structure as a basis, the aim is the evaluation of the mathematical provision of a portfolio in a fair value approach. In this environment, the complexity of the life insurance contract market leads to practical valuation management focused on the choice of the most suitable mortality table and discounting process. A numerical application is proposed, for comparing the reserve fair values referred to two insured loans based on an amortization schedule, the first calculated at a fixed rate and the second, the alternative offered in the market, at a variable rate. © Springer 2008, Milan.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
