Equity-linked life insurance: A model with stochastic interest rates

DOI10.1016/0167-6687(95)00007-FzbMath0872.62094OpenAlexW2240088247WikidataQ127363689 ScholiaQ127363689MaRDI QIDQ1902634

Klaus Sandmann, Jørgen Aase Nielsen

Publication date: 19 October 1997

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00007-f

zbMATH Keywords

Monte Carlo simulationsvariance reductionforward risk adjusted measureAsian-like option contractperiodic premium casestochastic interest rate dynamics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (26)

Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets ⋮ A bivariate model for evaluating equity-linked policies with surrender option ⋮ Exponential change of measure applied to term structures of interest rates and exchange rates ⋮ The pricing of Asian options under stochastic interest rates ⋮ Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk ⋮ Equity-linked pension schemes with guarantees ⋮ Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies ⋮ Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies ⋮ Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility ⋮ Hedging Equity-Linked Life Insurance Contracts ⋮ An efficient frontier for participating policies in a continuous-time economy ⋮ Pricing rate of return guarantees in regular premium unit linked insurance ⋮ Hedging guarantees in variable annuities under both equity and interest rate risks ⋮ Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims ⋮ A no arbitrage approach to Thiele's differential equation ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE ⋮ Pricing of long dated equity-linked life insurance contracts ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Risk measure and fair valuation of an investment guarantee in life insurance ⋮ Continuous-time methods in the study of discretely sampled functionals of Lévy processes. I. The positive process case ⋮ Development and Pricing of a New Participating Contract

Cites Work

• Pricing equity-linked life insurance with endogenous minimum guarantees

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