Economic Valuation Models for Insurers

DOI10.1080/10920277.1998.10595716MaRDI QIDQ5718299zbMATH OpenOpenAlexFDO

Authors David F. Babbel, Craig B. Merrill

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)

Recommendations

• Financial modeling, actuarial valuation and solvency in insurance
• The Financial Modeling of Property-Casualty Insurance Companies
• Dynamic Financial Models of Life Insurers
• Insurance valuation: a computable multi-period cost-of-capital approach
• Financial pricing models for property-casualty insurance products
• scientific article; zbMATH DE number 5151672
• Wertorientiertes Risikomanagement von Versicherungsunternehmen
• scientific article; zbMATH DE number 2063850
• Zur Bewertung von Versicherung als Option

Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• An Intertemporal General Equilibrium Model of Asset Prices
• Martingales and arbitrage in multiperiod securities markets
• Option pricing: A simplified approach
• Pricing interest-rate-derivative securities
• The pricing of options and corporate liabilities
• Two Paradigms for The Market Value of Liabilities

Cited in

(13)

• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Asset and liability modelling for participating policies with guarantees
• The valuation of unit-linked policies with or without surrender options
• Wertorientiertes Risikomanagement von Versicherungsunternehmen
• scientific article; zbMATH DE number 5151672 (Why is no real title available?)
• scientific article; zbMATH DE number 2101190 (Why is no real title available?)
• 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
• Market Value Of Insurance Liabilities
• Dynamic Financial Models of Life Insurers
• Two Paradigms for The Market Value of Liabilities
• Evaluation of insurance products with guarantee in incomplete markets

This page was built for publication: Economic Valuation Models for Insurers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5718299)