Economic Valuation Models for Insurers

DOI10.1080/10920277.1998.10595716zbMath1081.62559OpenAlexW2334442463MaRDI QIDQ5718299

Craig B. Merrill, David F. Babbel

Publication date: 13 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.1998.10595716

Mathematics Subject Classification ID

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

Related Items (7)

Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies ⋮ Evaluation of insurance products with guarantee in incomplete markets ⋮ Asset and liability modelling for participating policies with guarantees ⋮ Fair Value of Liabilities: The Financial Economics Perspective ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Risk-Based Capital Factor Determination With Jump Risk ⋮ The valuation of unit-linked policies with or without surrender options

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Option pricing: A simplified approach
• Two Paradigms for The Market Value of Liabilities

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