A Replication approach for the evaluation of embedded options in german building savings contracts
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260003054 | ||
| 003 | MAP | ||
| 005 | 20260211184221.0 | ||
| 008 | 260206e20250811che|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20260002446$aHessenauer, Tobias | ||
| 245 | 1 | 2 | $aA Replication approach for the evaluation of embedded options in german building savings contracts$cTobias Hessenauer and Josef Schürle |
| 520 | $aThis article presents a replication method for valuing embedded options in German building-savings contracts, which are complex financial instruments whose evolution depends heavily on customer behavior and interest-rate dynamics. The study adapts to the building-savings context a technique commonly used in life insurance: the construction of replication portfolios using swaps and swaptions. To achieve this, the authors develop an approach based on synthetic cash flows and Monte Carlo stochastic simulations calibrated under a risk-neutral measure. The model captures the convexity of the contract portfolio and accurately reflects its sensitivity to interest-rate movements. The results show that the methodology is promising as a standard for the valuation and risk management of building-savings institutions | ||
| 650 | 4 | $0MAPA20100061138$aReplicación de activos y pasivos | |
| 650 | 4 | $0MAPA20080539863$aSwaps | |
| 650 | 4 | $0MAPA20080592011$aModelos actuariales | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080617615$aMatemáticas empresariales | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 700 | 1 | $0MAPA20260002453$aSchürle, Josef | |
| 710 | 2 | $0MAPA20180008764$aSpringer | |
| 773 | 0 | $wMAP20220007085$g11/08/2025 Volume 15 - Number 2 - August 2025 , p. 753 - 771$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022 |