Multidimensional valuation of life insurance policies and fair value

zbMATH Open1333.91017MaRDI QIDQ2801356FDOQ2801356

Authors: Gabi Baumgartner, Hans Bühlmann, Michael Koller 

Publication date: 7 April 2016

Published in: Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL: http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=24

Recommendations

• Fair valuation of path-dependent participating life insurance contracts.
• Fair valuation of insurance contracts under Lévy process specifications
• A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio
• Market Based Tools for Managing the Life Insurance Company
• Fair valuation of life insurance contracts under a correlated jump diffusion model

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (10)

• Title not available (Why is that?)
• The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
• Un metodo di valutazione di un portafoglio assicurativo vita
• On accounting standards and fair valuation of life insurance and pension liabilities
• Title not available (Why is that?)
• Title not available (Why is that?)
• Market-consistent actuarial valuation
• Fair valuation of universal life policies via a replicating portfolio
• Valuation of life insurance surrender and exchange options
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension

This page was built for publication: Multidimensional valuation of life insurance policies and fair value

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801356)