Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
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Publication:2492170
DOI10.1016/J.INSMATHECO.2005.06.014zbMath1159.91405OpenAlexW3124539830MaRDI QIDQ2492170
Montserrat Guillen, Peter Løchte Jørgensen, Jens Perch Nielsen
Publication date: 9 June 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.014
path-dependencecontingent claims valuationlife cycle asset allocationaccount-based pension schemesreturn smoothingsurplus distribution mechanisms
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Reserving for maturity guarantees: Two approaches
- Equity-linked life insurance: A model with stochastic interest rates
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- A Theory of the Term Structure of Interest Rates
- An equilibrium characterization of the term structure
- On accounting standards and fair valuation of life insurance and pension liabilities
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