Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
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Recommendations
- Risk-neutral valuation of participating life insurance contracts
- Risk measure and fair valuation of an investment guarantee in life insurance
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
- Participating payout life annuities: lessons from Germany
Cites work
- An equilibrium characterization of the term structure
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- scientific article; zbMATH DE number 1215449 (Why is no real title available?)
- scientific article; zbMATH DE number 854710 (Why is no real title available?)
- Risk measure and fair valuation of an investment guarantee in life insurance
- Risk-neutral valuation of participating life insurance contracts
- Stochastic calculus for finance. I: The binomial asset pricing model.
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- The pricing of options and corporate liabilities
Cited in
(25)- Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
- The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
- Pension saving schemes with return smoothing mechanism
- Measuring profitability of life insurance products under Solvency II
- Multi-year analysis of solvency capital in life insurance
- A new approach for satisfactory pensions with no guarantees
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Risk measure and fair valuation of an investment guarantee in life insurance
- Return smoothing in life insurance from a client perspective
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- scientific article; zbMATH DE number 2063850 (Why is no real title available?)
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- scientific article; zbMATH DE number 1570492 (Why is no real title available?)
- Cliquet-style return guarantees in a regime switching Lévy model
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Market Based Tools for Managing the Life Insurance Company
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Cross-subsidizing effects between existing and new policyholders in traditional life insurance
- Insurance-finance arbitrage
- A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
- Risk-neutral valuation of participating life insurance contracts
- A sensitivity analysis of typical life insurance contracts with respect to the technical basis
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
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