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

dc.contributor.authorPimentel, Pedro
dc.contributor.authorPereira, Ricardo
dc.date.accessioned2019-01-25T10:48:48Z
dc.date.available2019-01-25T10:48:48Z
dc.date.issued2011-01
dc.description.abstractThis 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.en
dc.description.versionN/Apt_PT
dc.identifier.citationPimentel, 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.pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.3/4977
dc.language.isoengpt_PT
dc.publisherUniversidade dos Açorespt_PT
dc.subjectGuaranteed Investment Contractsen
dc.subjectInsuranceen
dc.subjectOptionsen
dc.titleEvaluation of the surrender and the minimum guaranteed rate of return options in life insurance productsen
dc.typeworking paper
dspace.entity.typePublication
oaire.citation.conferencePlacePonta Delgada, Açorespt_PT
oaire.citation.endPage18pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleCEEAplA-A - Working Paper Seriespt_PT
person.familyNamePimentel
person.givenNamePedro
person.identifier.ciencia-id9C19-6CDD-AF3E
person.identifier.orcid0000-0003-1056-0338
person.identifier.ridM-4559-2013
person.identifier.scopus-author-id54930676400
rcaap.rightsopenAccesspt_PT
rcaap.typeworkingPaperpt_PT
relation.isAuthorOfPublicationaace72bf-d0f1-44b0-bc6e-689ca3dc03f7
relation.isAuthorOfPublication.latestForDiscoveryaace72bf-d0f1-44b0-bc6e-689ca3dc03f7

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