La valutazione del Time value delle garanzie nell'industria assicurativa

In the recent years accountancy and reporting tools are moving towards a market consistent setting. For insurance companies means a deep change on assessment methods: from a deterministic setting they need to switch to a stochastic one. The identification and the stochastic estimation of guarantees and options embedded in insurance contracts is surely one of the major actuarial challenge deriving from this new accountancy attitude. This paper provides an introduction to the valuation of guarantees and options embedded in life insurance products. It explains how options and guarantees have to be valued according to MCEV and QIS5 technical specifications. It also explores the different computation methods to assess the value of options and guarantees. To show practical application it assess the value of a simple interest rate minimum guarantee using Black-Scholes formula. At the end of the paper it is possible to find the analysis of almost 30 MCEV reports of 6 major insurance companies. In the analysis it is highlighted the evolution over time of the cost of options and guarantees.