On accounting standards and fair valuation of life insurance and pension liabilities

DOI10.1080/03461230410000556zbMath1087.62117OpenAlexW2012133124MaRDI QIDQ5467666

Peter Løchte Jørgensen

Publication date: 24 May 2006

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230410000556

zbMATH Keywords

regulationfinancial reportingfair valuemarket valuesaccounting standardsfunctional valuation

Mathematics Subject Classification ID

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

Related Items (16)

Accounting and actuarial smoothing of retirement payouts in participating life annuities ⋮ The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements ⋮ On risk charges and shadow account options in pension funds ⋮ Valuation of longevity-linked life annuities ⋮ Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims ⋮ The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ 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 ⋮ On the regulator-insurer interaction in a structural model ⋮ A two-account model of pension saving contracts ⋮ Lapse rate modeling: a rational expectation approach ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Optimal Portfolio Choice in Retirement With Participating Life Annuities ⋮ A market-consistent framework for the fair evaluation of insurance contracts under Solvency II ⋮ Surplus-linked life insurance

Cites Work

• The Pricing of Options and Corporate Liabilities
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Intervention options in life insurance
• Mortality derivatives and the option to annuitise.
• Valuation of guaranteed annuity conversion options.
• Fair valuation of path-dependent participating life insurance contracts.
• Pricing and hedging guaranteed annuity options via static option replication.
• Equity-linked life insurance: A model with stochastic interest rates
• 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
• Guaranteed Annuity Options
• Valuation of Participating Life Insurance Liabilities
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Hedging Equity-Linked Life Insurance Contracts
• A no arbitrage approach to Thiele's differential equation

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