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May 2008

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From:
careeroffice <[log in to unmask]>
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Date:
Mon, 26 May 2008 10:08:53 +0200
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Interested in this Internship? Let us know you?re interested by writing
an email containing your personal info to [log in to unmask]
<mailto:[log in to unmask]> with subject ?internship 4075?. We will
contact you shortly after.

*
Company profile: *

This institute is a national network for research and education in the
field of pensions, aging and retirement. It is an independent network
composed of academics and practitioners in the field, supported by
universities as well as private and public institutions with an interest
in common research topics. They are located at Tilburg University,
faculty of Economics and Business Administration.
They are committed to building a strong network of excellent academic
research, professional financial institutions and a high-quality civil
service in the Netherlands. The cluster aims to stimulate social
innovation in addressing the challenges and opportunities raised by
aging in an efficient and equitable manner and in an international
setting. This social innovation should help reconcile stability and
flexibility in a dynamic knowledge-based economy in order to maintain
social cohesion and credible social protection, while safeguarding a
well functioning labor market that utilizes and maintains human resources.

For this particular assignment they work together with a large Dutch
insurer that belongs to the worlds' top-20 financial companies based on
market capitalization. They have over 150 years of experience on
advising both individual and corporate clients in the fields of
insurance, mortgages, wealth and pensions.

*Assignment:*
In large group pension contracts often the liabilities are backed by
corporate bonds and equity during the lifetime of the contract. During
the contract investment returns above a certain threshold are shared
with the holder of the contract. The insurance company guarantees the
built up rights at the end of the contract. Therefore at the end of the
contract period the holder of the contract has the right to exchange the
value of the assets with the value of the pension claims. This right can
be exercised by leaving the pension claims at the insurance company in
case of bad investment returns.
Currently the embedded options in this contract are valued assuming that
the investment quality of the fixed income investments is risk free (no
credit risk or credit spread risk), therefore only taking into account
interest rate risk. An insurer wishes to price these embedded options
consistent with prices in the financial market. The main question is:
?How can we value this contract consistent with financial markets,
taking into account more than just the interest rate risk for fixed
income?. You will spend your research efforts on this assignment.

The internship takes place at the offices of the Dutch insurer. The
amount of salary will be determined in negotiation.

*Intern profile:*

Fluent in English. Knowledge of financial modeling preferred.

Adequate knowledge of interest rate models and option pricing is
required. Also modeling experience using Monte Carlo simulation is
desired. Possible studies: Finance (master), Econometrics (master),
Investment Analysis (master). Also master students of studies related to
mathematics and informatics are suitable.

________________________

Integrand Groningen

Sint Walburgstraat 22c

9712 HX Groningen

T: 050-3145211

E: [log in to unmask]

W: http://www.integrand.nl

Openingstijden:

Maandag t/m vrijdag:

9.30u - 12.30u

13.30u- 16.30u

________________________


--
Career Office of the Faculty of Economics and Business

P.O. Box 800
9700 AV Groningen
+31 (0)50 3637182
http://www.rug.nl/feb/careeroffice

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