A Replication approach for the evaluation of embedded options in german building savings contracts

<?xml version="1.0" encoding="UTF-8" standalone="no"?>
<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<rdf:Description>
<dc:creator>Hessenauer, Tobias</dc:creator>
<dc:creator>Schürle, Josef</dc:creator>
<dc:creator>Springer</dc:creator>
<dc:date>2025-08-11</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/189537.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Replicación de activos y pasivos</dc:subject>
<dc:subject xml:lang="es">Swaps</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Modelo estocástico</dc:subject>
<dc:subject xml:lang="es">Matemáticas empresariales</dc:subject>
<dc:subject xml:lang="es">Matemática del seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Replication approach for the evaluation of embedded options in german building savings contracts</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 11/08/2025 Volume 15 - Number 2 - August  2025 , p. 753 - 771</dc:relation>
</rdf:Description>
</rdf:RDF>