A Lévy process-based framework for the fair valuation of participating life insurance contracts
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Publication:2581775
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Cites work
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of path-dependent participating life insurance contracts.
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- scientific article; zbMATH DE number 822726 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- Option pricing when underlying stock returns are discontinuous
- Option Pricing With V. G. Martingale Components1
- Pricing contingent claims on stocks driven by Lévy processes
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
Cited in
(41)- Analytical valuation of catastrophe equity options with negative exponential jumps
- Valuation and hedging of participating life-insurance policies under management discretion
- Knightian uncertainty and insurance regulation decision
- The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
- Valuation of equity-indexed annuities under correlated jump-diffusion processes
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Testing for pure-jump processes for high-frequency data
- Cliquet option pricing in a jump-diffusion Lévy model
- Hedging life insurance contracts in a Lévy process financial market
- Activity signature functions for high-frequency data analysis
- Fourier based methods for the management of complex life insurance products
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model
- On the estimation of regime-switching Lévy models
- Fair valuation of life insurance contracts under a two-sided jump diffusion model
- Fair valuation of life insurance contracts under a correlated jump diffusion model
- Protection of a company issuing a certain class of participating policies in a complete market framework
- Pricing and capital requirements for with profit contracts: modelling considerations
- Modeling high-frequency financial data by pure jump processes
- On pricing and reserving with-profits life insurance contracts
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- Pricing participating policies under the Meixner process and stochastic volatility
- Best estimate calculations of savings contracts by closed formulas: application to the ORSA
- On surrender and default risks
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Development and pricing of a new participating contract
- Cliquet-style return guarantees in a regime switching Lévy model
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
- Hybrid Lévy models: design and computational aspects
- Risk comparison of different bonus distribution approaches in participating life insurance
- Numerical methods for computing risk measures of variable annuities under exponential Lévy models
- On the regulator-insurer interaction in a structural model
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
- The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
- On valuing participating life insurance contracts with conditional heteroscedasticity
- Fair valuation of insurance contracts under Lévy process specifications
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
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