Asset and liability modelling for participating policies with guarantees

DOI10.1016/J.EJOR.2007.01.037zbMath1138.91491OpenAlexW3092959182MaRDI QIDQ2462133

Andrea Consiglio, Stavros A. Zenios, Flavio Cocco

Publication date: 23 November 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10447/36301

zbMATH Keywords

asset-liability managementrisk managementinsurance products with guarantee

Mathematics Subject Classification ID

Related Items (12)

A robust asset-liability management framework for investment products with guarantees ⋮ Financial planning for Young households ⋮ Optimal investment strategies for participating contracts ⋮ Designing and pricing guarantee options in defined contribution pension plans ⋮ Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market ⋮ Minimum standards for investment performance: a new perspective on non-life insurer solvency ⋮ Continuous-time mean-variance portfolio selection with liability and regime switching ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Modeling financial reinsurance in the casualty insurance business via stochastic programming ⋮ Unnamed Item ⋮ Valuation and hedging of participating life-insurance policies under management discretion

Cites Work

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• A stochastic programming model for funding single premium deferred annuities
• Reserving for maturity guarantees: Two approaches
• 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
• Formulation of the Russell-Yasuda Kasai Financial Planning Model
• Minimum Rate of Return Guarantees: The Danish Case
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Economic Valuation Models for Insurers

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