Valuation of life insurance surrender and exchange options
From MaRDI portal
Publication:931172
DOI10.1016/J.INSMATHECO.2007.10.011zbMath1141.91539OpenAlexW2085894768MaRDI QIDQ931172
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.011
Related Items (6)
Multi-state models for evaluating conversion options in life insurance ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ The conversion option in life insurance ⋮ Performance measurement of pension strategies: a case study of Danish life cycle products ⋮ Performance measurement of pension strategies: a case study of Danish life-cycle products
Uses Software
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Risk-neutral valuation of participating life insurance contracts
- Martingales and arbitrage in multiperiod securities markets
- Fair valuation of path-dependent participating life insurance contracts.
- An analysis of a least squares regression method for American option pricing
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Minimum Rate of Return Guarantees: The Danish Case
- Option pricing: A simplified approach
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
This page was built for publication: Valuation of life insurance surrender and exchange options
