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oai:www.ideals.illinois.edu:2142/87424 2023-07-11 col_2142_5131 col_2142_17364 com_2142_5130 com_2142_17363 com_2142_9216

D'Arcy, Stephen P. Ahlgrim, Kevin C. 2015-09-28T16:03:11Z 2015-09-28T16:03:11Z 10000-01-01 2001 2001 This research investigates the importance of the underlying assumption of interest rate movements when valuing insurance. Movements in interest rates affect the present value of both property-liability and life insurance obligations. One approach to understanding the amount of interest rate risk inherent to insurers is to perform a financial analysis that incorporates a stochastic model of interest rate changes. Many of these term structure models use only one stochastic variable to project the path of future interest rates. The benefit of one-factor models is that they are simpler to use than multi-factor approaches. This research investigates the importance of incorporating a second stochastic factor in the financial analysis of an insurance company to determine if there are any effects on interest rate risk. Three applications are considered: (1) options on Eurodollar futures contracts, (2) dynamic financial analysis of property-liability insurance, and (3) whole life insurance. The approach of this study is to compare the results of the analysis under both a one- and a two-factor Hull-White term structure model and investigate the uncertainty under the alternative interest rate distributions. The objective of this dissertation is to determine if a more complex term structure model is required to capture the actual interest rate risk of insurance. Made available in DSpace on 2015-09-28T16:03:11Z (GMT). No. of bitstreams: 2 license.txt: 4848 bytes, checksum: 96035ab3f5e1c23cc7138a224ce498bd (MD5) 3017012.pdf: 7947315 bytes, checksum: 1e5ed3ba957ed0ea9005d53a48934b8e (MD5) Previous issue date: 2001 Embargo set by: Seth Robbins for item 88705 Lift date: Forever Reason: Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs Restricted to the U of I community idenfinitely during batch ingest of legacy ETDs U of I Only 191 p. Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2001. http://hdl.handle.net/2142/87424 (MiAaPQ)AAI3017012 eng Economics, Finance The Effects of Multifactor Term Structure Models on the Valuation of Insurance text Finance Finance University of Illinois at Urbana-Champaign Dissertation Ph.D.