Topic
Embedded value
About: Embedded value is a research topic. Over the lifetime, 343 publications have been published within this topic receiving 8853 citations.
Papers published on a yearly basis
Papers
20 Nov 2017
TL;DR: In this paper, the authors consider various topics regarding the valuation of embedded options, including the value and cash flow of these contracts, respectively relevant for the balance sheet and the profit and loss account.
Abstract: In times of market turmoil volatility increases and stock values and interest rates decrease, so that the risks in the balance sheets of insurance companies increase. An important part of these risks is due to the guarantees that are embedded in insurance policies. Life insurers sell products like unit-linked, profit sharing and variable annuity products. These contracts contain guarantees to the policyholders. Such contracts embedded in the insurers’ liabilities are called embedded options. The value and cash flow of these contracts are respectively relevant for the balance sheet and the profit and loss account. Typically in periods of volatile markets, the value of these embedded options increase, so that the insurance company must hold a larger liability value on the balance sheet in order to be able to pay out future cash flows. The valuation of these embedded options in insurance liabilities is therefore important to insurers for risk management applications. In this thesis we consider various topics regarding the valuation of these embedded options.
2 citations
1 Dec 1994
TL;DR: In this paper, the authors examine the notion of a discount to Net Asset value and show why such claims about unlocking value are largely unfounded, and show that the existence of such a discount is not justified.
Abstract: The argument has recently been made by powerful political voices that the large South African corporate conglomerates (or groups) should be broken up into their constituents or “unbundled”, as the process has become known in South Africa. Critics of these groups in the financial markets have pointed to the existence of a discount of the quoted share price to the so-called Net Asset value of the Mining Finance houses, which are either the parent companies of the groups or constitute an Important element of them. Unbundling, it is contended, will “unlock” value for shareholders by eliminating this discount. This paper examines the notion of a discount to Net Asset value and shows why such claims about unlocking value are largely unfounded.
2 citations
Patent•
20 Nov 2013
TL;DR: In this paper, an insurance product provides coverage for value escalation in a highly capitalized project, where one or more indices are used to obtain a quantification of volatility of the value of the project over the project lifecycle.
Abstract: An insurance product provides coverage for value escalation in a highly capitalized project. One or more indices are used to obtain a quantification of volatility of the value of the project over the project lifecycle. Probabilities of value changes over the project lifecycle can be generated from an index, which can be solely representative of the project value, or can be the result of combinations of one or more indices to approximate project value changes. The project value change probabilities are used to estimate an amount of insurance coverage that can be applied to cover project value changes. The party responsible for the project can purchase the insurance product with a premium derived from the amount and type of coverage tied to the index. The insurance product assists the responsible party in containing changes in project value over the course of the project life cycle.
2 citations
Book•
1 Jan 2004
2 citations
TL;DR: In this article, a DCF analysis of selected companies finds the growth stocks overpriced and the value stocks underpriced, and the possibility that some declining, old-line companies that appear to be good value are not.
Abstract: While the “value” style of investing fell on hard times in 1998-2000, the cornerstone of that approach--discounted cash-flow analysis--is still a sound valuation method and can be used to calcuate the fair value of “growth” as well as “value” companies. A DCF analysis of selected companies finds the growth stocks overpriced and the value stocks underpriced. Looking forward, however, values investors may need to retool their approach to fit today9s market realities, including the possibility that some declining, old-line companies that appear to be good value are not.
2 citations
Related Topics (5)
Performance Metrics
| Year | Papers |
|---|---|
| 2021 | 3 |
| 2020 | 2 |
| 2019 | 2 |
| 2018 | 3 |
| 2017 | 14 |
| 2016 | 20 |