With particular focus to German life insurance products, in addition to a guarantee, a variable amount called bonus is also included. The bonus can be divided into two parts, namely terminal bonus and yearly bonus. As the contract matures, the yearly bonus increases the guaranteed surrender value, the minimum value that has to be paid if the insurance contract is prematurely cancelled. A rational policyholder will surrender the contract or in other words exercise the embedded option it the market consistent value of the life insurance contract is smaller than the guaranteed surrender value. Such an option is called surrender option. As life insurance contracts include financial options inherently, one needs to identify the type of embedded option and take care of its value while designing a life insurance contract. In this thesis, we price such surrender options using tree methods, like binomial and trinomial methods. For this purpose, we consider stochastic interest rate models such as the Black-Derman-Toy Model and the Hull-White Model.     «

With particular focus to German life insurance products, in addition to a guarantee, a variable amount called bonus is also included. The bonus can be divided into two parts, namely terminal bonus and yearly bonus. As the contract matures, the yearly bonus increases the guaranteed surrender value, the minimum value that has to be paid if the insurance contract is prematurely cancelled. A rational policyholder will surrender the contract or in other words exercise the embedded option it the marke...     »