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Remarks on Insured Loan Valuations

In: Mathematical and Statistical Methods in Insurance and Finance

Author

Listed:
  • Mariarosaria Coppola

    (University of Naples)

  • Valeria D’Amato

    (University of Naples)

  • Marilena Sibillo

    (University of Salerno)

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.

Suggested Citation

  • Mariarosaria Coppola & Valeria D’Amato & Marilena Sibillo, 2008. "Remarks on Insured Loan Valuations," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods in Insurance and Finance, pages 91-98, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-0704-8_12
    DOI: 10.1007/978-88-470-0704-8_12
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    More about this item

    Keywords

    Fair value; Insured loan; Amortization schedule; Cox-Ingersoll-Ross model; Lee-Carter survival probabilities;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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