Reserving for maturity guarantees: Two approaches
From MaRDI portal
Publication:1381463
DOI10.1016/S0167-6687(97)00026-7zbMath0894.90044OpenAlexW1980241517MaRDI QIDQ1381463
Mary R. Hardy, Phelim P. Boyle
Publication date: 17 March 1998
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00026-7
Related Items
Move-based hedging of variable annuities: a semi-analytic approach, On pricing and reserving with-profits life insurance contracts, Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts, Regression Modeling for the Valuation of Large Variable Annuity Portfolios, Reserving for maturity guarantees: Two approaches, Pricing maturity guarantee under a refracted Brownian motion, CVaR-hedging and its applications to equity-linked life insurance contracts with transaction costs, Designing and pricing guarantee options in defined contribution pension plans, Two-phase selection of representative contracts for valuation of large variable annuity portfolios, Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics, EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS, Valuation of segregated funds: shout options with maturity extensions., Pricing and hedging guaranteed annuity options via static option replication., Minimum return guarantees with fund switching rights -- an optimal stopping problem, On the optimal design of insurance contracts with guarantees, Valuation of the interest rate guarantee embedded in defined contribution pension plans, Pricing rate of return guarantees in a Heath-Jarrow-Morton framework, A synthesis of risk measures for capital adequacy, Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies, Evaluation of insurance products with guarantee in incomplete markets, Mortality modelling with regime-switching for the valuation of a guaranteed annuity option, Asset and liability modelling for participating policies with guarantees, Efficient Hedging and Pricing of Life Insurance Policies in a Jump-Diffusion Model, Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature, An object-oriented framework for valuing shout options on high-performance computer architectures, Hedging and Reserving for Single-Premium Segregated Fund Contracts, Dynamic Fund Protection, Application of Coherent Risk Measures to Capital Requirements in Insurance, Hedging guarantees in variable annuities under both equity and interest rate risks, Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims, Application of data clustering and machine learning in variable annuity valuation, Quantile hedging for equity-linked contracts, The reset decision for segregated fund maturity guarantees, Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement, Quantile hedging on equity-linked life insurance contracts with transaction costs, Deep hedging of long-term financial derivatives, Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets, Risk measure and fair valuation of an investment guarantee in life insurance, Valuation of large variable annuity portfolios under nested simulation: a functional data approach, Variable annuity pricing, valuation, and risk management: a survey, Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas
Cites Work