Centro de Documentacion de Fundación MAPFRE - A Replication approach for the evaluation of embedded options in german building savings contracts

MAP20260003054

A Replication approach for the evaluation of embedded options in german building savings contracts / Tobias Hessenauer and Josef Schürle

Sumario: This 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

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 11/08/2025 Volume 15 - Number 2 - August 2025 , p. 753 - 771

1. Replicación de activos y pasivos . 2. Swaps . 3. Modelos actuariales . 4. Modelo estocástico . 5. Matemáticas empresariales . 6. Matemática del seguro . I. Schürle, Josef . II. Springer . III. Título.