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Interest rate risk immunisation for life insurers

Author

Listed:
  • Elżbieta Krajewska

    (Politechnika Łódzka)

Abstract

This paper investigates some applications of immunisation inequality introduced by Gajek, Krajewska (2013) for life insurers’ portfolios. When net insurance premiums are considered, a lower bound given by this inequality is a product of two terms. One of them, L2(s), might be treated as a measure of interest rate risk. In the paper, formulas for L2(s) are given for life insurance products, such as term life insurance, pure endowment, temporary life annuity.

Suggested Citation

  • Elżbieta Krajewska, 2015. "Interest rate risk immunisation for life insurers," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 39-56.
    • Handle: RePEc:sgh:annals:i:37:y:2015:p:39-56
    as

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    References listed on IDEAS

    as
    1. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(4), pages 627-627, November.
    Full references (including those not matched with items on IDEAS)

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