The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
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Publication:1627633
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Cites work
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Accounting and actuarial smoothing of retirement payouts in participating life annuities
- Analysis of Fourier transform valuation formulas and applications
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Cliquet-style return guarantees in a regime switching Lévy model
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Equity-linked life insurance based on traditional products: the case of select products
- Equity-linked pension schemes with guarantees
- Fair valuation of path-dependent participating life insurance contracts.
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Minimum return guarantees, investment caps, and investment flexibility
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Option pricing when underlying stock returns are discontinuous
- Participating payout life annuities: lessons from Germany
- Pricing and hedging of cliquet options and locally capped contracts
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Risk-neutral valuation of participating life insurance contracts
- Robustness of stable volatility strategies
- The design of equity-indexed annuities
- The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
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