PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES

DOI10.1142/S0219024906003688MaRDI QIDQ5483503zbMATH OpenOpenAlexWikidataFDO

Authors Chi Chiu Chu, Yue Kuen Kwok

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024906003688

zbMATH Keywords

contingent claims valuationparticipating policiesperturbation techniquesreversionary reserve distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Market Consistent Pricing of Insurance Products
• Pricing rate of return guarantees in regular premium unit linked insurance
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• The pricing of optimal insurance policies
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
• Pricing general insurance with constraints
• Insurance pricing under ambiguity
• Insurance guaranty premiums and exchange options

Cites work

• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• On pricing and reserving with-profits life insurance contracts
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

Cited in

(12)

• Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
• An analytical study of participating policies with minimum rate guarantee and surrender option
• A lattice approach to evaluate participating policies in a stochastic interest rate framework
• Asset and liability modelling for participating policies with guarantees
• Protection of a company issuing a certain class of participating policies in a complete market framework
• EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
• Pricing participating policies under the Meixner process and stochastic volatility
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• AN OPTIMAL TRADING STRATEGY FOR PARTICIPATING POLICIES(Special Issue on Theory, Methodology and Applications in Financial Engneering)
• Development and pricing of a new participating contract
• On valuing participating life insurance contracts with conditional heteroscedasticity
• Pricing participating products under a generalized jump-diffusion model

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