Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

DOI10.1016/S0167-6687(99)00041-4zbMath0977.62108OpenAlexW3123770653WikidataQ126653722 ScholiaQ126653722MaRDI QIDQ1974042

Anders Grosen, Peter Løchte Jørgensen

Publication date: 24 January 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00041-4

zbMATH Keywords

embedded optionssurrendercontingent claims valuationparticipating life insurance policiesbonus policy

Mathematics Subject Classification ID

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

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing equity-linked life insurance with endogenous minimum guarantees
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
• Reserving for maturity guarantees: Two approaches
• Monte Carlo methods for security pricing
• Pricing American-style securities using simulation
• Equity-linked life insurance: A model with stochastic interest rates
• Option pricing: A simplified approach
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Economic Valuation Models for Insurers
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