Valuation and risk assessment of participating life insurance in the presence of credit risk
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Publication:2374130
DOI10.1016/J.INSMATHECO.2016.10.006zbMATH Open1371.91086OpenAlexW3123138362MaRDI QIDQ2374130FDOQ2374130
Authors: Yanyan Li 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.006
Recommendations
- Valuation and hedging of participating life-insurance policies under management discretion
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (10)
- Title not available (Why is that?)
- A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- Cross-subsidizing effects between existing and new policyholders in traditional life insurance
- COVID-19 and credit risk: a long memory perspective
- Bond portfolio optimization with long-range dependent credits
- Title not available (Why is that?)
- Valuation of Participating Life Insurance Liabilities
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
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