Thesis defence S.N. Singor: insurance
20 November 2017 10:00 - Location: Aula, TU Delft - By: Webredactie
Improving risk neutral valution techniques with applications in insurance. Promotor: Prof.dr.ir. C.W. Oosterlee (EWI).
Life insurers sell products like unit-linked, profit sharing and variable annuity products. These contracts contain guarantees to the policyholders. The valuation of these embedded contracts in insurance liabilities is important to insurers for risk management applications. We consider various topics regarding the valuation of these embedded options. We focus on extending the Black-Scholes model for inflation and real estate indices, that are relevant risk variables for insurance companies and pension funds. We also focus on the challenge of nested simulations, which are important for ex-ante risk management applications. Nested simulations arise when Monte Carlo simulations are used to valuation. Valuation by means of Monte Carlo simulation is the preferred method in practice. We propose advanced techniques for the approximation and modeling of these nested simulations. We also propose a HPC framework to accelerate nested simulations. The techniques in this thesis improve risk management computations of an insurer and we show by means of numerical experiments that the techniques can have an enormous impact.
For access to theses by the PhD students you can have a look in TU Delft Repository, the digital storage of publications of TU Delft. Theses will be available within a few weeks after the actual thesis defence.