Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
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Cites work
- Arbitrage Theory in Continuous Time
- Computation of distorted probabilities for diffusion processes via stochastic control methods.
- Equity-linked life insurance: A model with stochastic interest rates
- European Option Pricing with Transaction Costs
- Hedging Equity-Linked Life Insurance Contracts
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Numerical Methods for an Optimal Investment-Consumption Model
- Numerical schemes for investment models with singular transactions
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Pricing of Unit-linked Life Insurance Policies
- Risk Aversion in the Small and in the Large
- Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
- The pricing of options and corporate liabilities
- Utility Functions
- Valuing Equity-Indexed Annuities
Cited in
(29)- Optimal surrender strategies for equity-indexed annuity investors
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process
- Equity-linked life insurance based on traditional products: the case of select products
- Application of data clustering and machine learning in variable annuity valuation
- Equivalence principle and Jewell's inequality
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- A model-point approach to indifference pricing of life insurance portfolios with dependent lives
- Unhedgeable inflation risk within pension schemes
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Optimal dividend problem with a nonlinear regular-singular stochastic control
- A Markov process modeling and analysis of indifference pricing of insurance contracts for home reversion plan for a pair of insureds
- Optimal dividend and reinsurance in the presence of two reinsurers
- Principle of equivalent utility and universal variable life insurance pricing
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Bond indifference prices
- Relative hedging of systematic mortality risk
- Pricing weather derivatives using the indifference pricing approach
- Indifference pricing of a GLWB option in variable annuities
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Intergenerational sharing of unhedgeable inflation risk
- Correlated intensity, counter party risks, and dependent mortalities
- Proportional reinsurance and investment based on the Ornstein-Uhlenbeck process in the presence of two reinsurers
- Indifference Pricing of Pure Endowments in a Regime-Switching Market Model
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates
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