Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts

DOI10.1016/j.insmatheco.2017.10.005zbMath1416.91179OpenAlexW2550868673MaRDI QIDQ1667420

Anna Maria Gambaro, Riccardo Casalini, Alessandro Ghilarducci, Gianluca Fusai

Publication date: 28 August 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/19128/1/SSRN-id2872184.pdf

zbMATH Keywords

credit riskasset liability managementliquidity riskembedded optionminimum guaranteed fund

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items

A market-consistent framework for the fair evaluation of insurance contracts under Solvency II

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