{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/87424"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/87424","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"The Effects of Multifactor Term Structure Models on the Valuation of Insurance","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Ahlgrim, Kevin C."],"institution":"University of Illinois at Urbana-Champaign","degree_name":"Ph.D.","degree_level":"Dissertation","degree_discipline":"Finance","degree_department":null,"school":null,"contributors":["D'Arcy, Stephen P."],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2015,"date_issued":"2015-09-28T16:03:11Z","date_published":"2015-09-28T16:03:11Z","updated_at":"2026-07-22T22:26:30Z","subjects":["Economics, Finance"],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[{"key":"dc:identifier","label":"Identifier","values":["(MiAaPQ)AAI3017012"],"render_values":[{"text":"(MiAaPQ)AAI3017012","href":null,"code":true}]}]},"links":{"outbound_url":"http://hdl.handle.net/2142/87424","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["D'Arcy, Stephen P."]},{"key":"dc:creator","label":"Author","values":["Ahlgrim, Kevin C."]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2015-09-28T16:03:11Z","10000-01-01","2001"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Finance"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Ph.D."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics, Finance"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/87424","(MiAaPQ)AAI3017012"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["This research investigates the importance of the underlying assumption of interest rate movements when valuing insurance. 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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). 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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). 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