Valuation and risk assessment of participating life insurance in the presence of credit risk
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Publication:2374130
Recommendations
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- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
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- An equilibrium characterization of the term structure
- Analytical pricing of vulnerable options under a generalized jump-diffusion model
- 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
- Credit events and the valuation of credit derivatives of basket type
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of participating policies with surrender options and regime switching
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- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
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- On the simulation of portfolios of interest rate and credit risk sensitive securities
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- Risk measure and fair valuation of an investment guarantee in life insurance
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Cited in
(10)- A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
- scientific article; zbMATH DE number 5252498 (Why is no real title available?)
- 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
- scientific article; zbMATH DE number 2063850 (Why is no real title available?)
- 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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