Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
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Publication:4661641
DOI10.2143/AST.31.2.1006zbMath1098.91537OpenAlexW2073919559MaRDI QIDQ4661641
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.31.2.1006
Related Items (49)
Risk-neutral valuation of participating life insurance contracts ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Return distributions of equity-linked retirement plans under jump and interest rate risk ⋮ The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees ⋮ Market value of life insurance contracts under stochastic interest rates and default risk ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ Fair valuation of path-dependent participating life insurance contracts. ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ A performance analysis of participating life insurance contracts ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ A joint valuation of premium payment and surrender options in participating life insurance contracts ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ On valuing participating life insurance contracts with conditional heteroscedasticity ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Optimal design of profit sharing rates by FFT ⋮ On the optimal design of insurance contracts with guarantees ⋮ Regression-based algorithms for life insurance contracts with surrender guarantees ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ Pricing participating products under a generalized jump-diffusion model ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Fair valuation of insurance contracts under Lévy process specifications ⋮ Asset and liability modelling for participating policies with guarantees ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ An efficient frontier for participating policies in a continuous-time economy ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ Pension saving schemes with return smoothing mechanism ⋮ Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach ⋮ Quantile hedging for equity-linked contracts ⋮ A general asset-liability management model for the efficient simulation of portfolios of life insurance policies ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ Knightian uncertainty and insurance regulation decision ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES ⋮ Pricing and capital requirements for with profit contracts: modelling considerations ⋮ Market Based Tools for Managing the Life Insurance Company ⋮ Fair Valuation of Various Participation Schemes in Life Insurance ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ A market-consistent framework for the fair evaluation of insurance contracts under Solvency II ⋮ A Lévy process-based framework for the fair valuation of participating life insurance contracts ⋮ Risk measure and fair valuation of an investment guarantee in life insurance ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy ⋮ Development and Pricing of a New Participating Contract ⋮ Fair valuation of participating policies with surrender options and regime switching
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