Remarks on Insured Loan Valuations

Mariarosaria Coppola (), Valeria D’Amato () and Marilena Sibillo
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Mariarosaria Coppola: University of Naples
Valeria D’Amato: University of Naples

A chapter in Mathematical and Statistical Methods in Insurance and Finance, 2008, pp 91-98 from Springer

Abstract: Abstract The paper concerns the case of the insured loan based on an amortization schedule at variable interest rates, hooked at opportune rate indexes. Using the cash flow structure as a basis, the aim is the evaluation of the mathematical provision of a portfolio in a fair value approach. In this environment, the complexity of the life insurance contract market leads to practical valuation management focused on the choice of the most suitable mortality table and discounting process. A numerical application is proposed, for comparing the reserve fair values referred to two insured loans based on an amortization schedule, the first calculated at a fixed rate and the second, the alternative offered in the market, at a variable rate.

Keywords: Fair value; Insured loan; Amortization schedule; Cox-Ingersoll-Ross model; Lee-Carter survival probabilities (search for similar items in EconPapers)
JEL-codes: G13 G22 G28 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-0704-8_12

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DOI: 10.1007/978-88-470-0704-8_12

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