Risk measure and fair valuation of an investment guarantee in life insurance
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Publication:2581782
DOI10.1016/j.insmatheco.2005.02.006zbMath1125.91061OpenAlexW2036242637MaRDI QIDQ2581782
Pierre Devolder, Jérôme Barbarin
Publication date: 10 January 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.006
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Cites Work
- Reserving for maturity guarantees: Two approaches
- Equity-linked life insurance: A model with stochastic interest rates
- A synthesis of risk measures for capital adequacy
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Coherent Measures of Risk
- Pricing of Unit-linked Life Insurance Policies
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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