Pricing of Unit-linked Life Insurance Policies
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Recommendations
- Further discussion of some new unit-link policies
- Bestimmung des Partizipationssatzes bei der Aktienindexgebundenen Lebensversicherung
- scientific article; zbMATH DE number 1795853
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Endogenous model of surrender conditions in equity-linked life insurance
Cites work
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- scientific article; zbMATH DE number 4081235 (Why is no real title available?)
- scientific article; zbMATH DE number 50702 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing equity-linked life insurance with endogenous minimum guarantees
- The pricing of options and corporate liabilities
Cited in
(53)- On transformations of actuarial valuation principles.
- Valuation of segregated funds: shout options with maturity extensions.
- Indifference pricing of insurance contracts in a product space model: Applications
- Pricing and hedging guaranteed annuity options via static option replication.
- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk
- Arithmetic averaging equity-linked life insurance policies in Germany
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Quantile hedging for equity-linked contracts
- A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
- An efficient frontier for participating policies in a continuous-time economy
- Hedging life insurance contracts in a Lévy process financial market
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Risk measure and fair valuation of an investment guarantee in life insurance
- On Bonus and Bonus Prognoses in Life Insurance
- Valuation of equity-indexed annuities with stochastic interest rate and jump diffusion
- Further discussion of some new unit-link policies
- Surplus-linked life insurance
- Principle of equivalent utility and universal variable life insurance pricing
- Indifference pricing of universal variable life insurance
- Probabilistic valuation of certain unit-linked contracts
- Stochastic interest rate in life insurance: The principle of equivalence revisited
- Set-valued stochastic integral equations driven by martingales
- Bestimmung des Partizipationssatzes bei der Aktienindexgebundenen Lebensversicherung
- scientific article; zbMATH DE number 1795853 (Why is no real title available?)
- A bivariate model for evaluating equity-linked policies with surrender option
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- High Order Stochastic Inclusions and Their Applications
- Pricing and hedging equity-indexed annuities via local risk-minimization
- Indifference pricing of pure endowments via BSDEs under partial information
- Implicit options in life insurance contracts
- Implicit options in life insurance contracts
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Optimal Design of a Perpetual Equity-Indexed Annuity
- Hedging Equity-Linked Life Insurance Contracts
- A no arbitrage approach to Thiele's differential equation
- Mean–variance hedging of contingent claims with random maturity
- Stochastic DDM with regime-switching process
- Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
- Filtering in a hazard rate change-point model with financial and life-insurance applications
- Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Bachelier model with stopping time and its insurance application
- Optimal stopping behavior of equity-linked investment products with regime switching
- Risk-neutral valuation of participating life insurance contracts
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- A law of large numbers approach to valuation in life insurance
- Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
- Fair valuation of insurance contracts under Lévy process specifications
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