Insurance guaranty premiums and exchange options

DOI10.1007/S11579-022-00326-4MaRDI QIDQ2690071zbMATH OpenOpenAlexFDO

Authors Hangsuck Lee, Seongjoo Song, Gaeun Lee

Publication date 15 March 2023

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-022-00326-4

zbMATH Keywords

Esscher transformexchange optionsinsurance guaranty premiumsmulti-step barrieroption pricingreflection principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
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• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• scientific article; zbMATH DE number 5284332

Cites work

• Actuarial bridges to dynamic hedging and option pricing
• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• Discussion on “Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty,” by Ya-Wen Hwang, Shih-Chieh Chang, and Yang-Che Wu, Volume 19(2)
• Exchange Options Under Jump-Diffusion Dynamics
• Game theoretic valuation of deposit insurance under jump risk: from too small to survive to too big to fail
• MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
• Pricing two-asset alternating barrier options with icicles and their variations
• The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
• The Valuation of American Options on Multiple Assets
• “Pricing Dynamic Investment Fund Protection,” Hans U. Gerber and Gérard Pafumi, April 2000

Cited in

(4)

• Export promotion via official export insurance
• The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
• PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
• Premiums of deposit insurance with maximum limit under the Black-Scholes model

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