Interest guarantees and model risk in life insurance

DOI10.1007/s11857-009-0084-4zbMath1182.91090OpenAlexW1985727499MaRDI QIDQ2655598

Marinko Veselčić, Hans-Jochen Bartels

Publication date: 25 January 2010

Published in: Blätter der DGVFM (Deutsche Gesellschaft für Versicherungs- und Finanzmathematik) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11857-009-0084-4

zbMATH Keywords

investment strategyjump diffusion processcutting-edge dynamic trading

Mathematics Subject Classification ID

Related Items (1)

The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design

Uses Software

• MersenneTwister

Cites Work

• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
• Mersenne twister
• Financial Modelling with Jump Processes

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