Valuation and hedging of participating life-insurance policies under management discretion
From MaRDI portal
Publication:1003820
DOI10.1016/j.insmatheco.2008.10.003zbMath1156.91397OpenAlexW1981526320MaRDI QIDQ1003820
Publication date: 4 March 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.10.003
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Cites Work
- Risk-neutral valuation of participating life insurance contracts
- The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
- Pricing and hedging guaranteed annuity options via static option replication.
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Asset and liability modelling for participating policies with guarantees
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return