The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
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Recommendations
- The valuation of unit-linked policies with or without surrender options
- Endogenous model of surrender conditions in equity-linked life insurance
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Reserve-dependent surrender rates
Cites work
- Endogenous model of surrender conditions in equity-linked life insurance
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Intensity-based framework and penalty formulation of optimal stopping problems
- Lapse rate modeling: a rational expectation approach
- Mortality derivatives and the option to annuitise.
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing life insurance contracts with early exercise features
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Stochastic mortality under measure changes
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Valuing American options by simulation: a simple least-squares approach
Cited in
(13)- Surrender contagion in life insurance
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- Stress scenario generation for solvency and risk management
- Optimal surrender policy for variable annuity guarantees
- Explicit portfolio for unit-linked life insurance contracts with surrender option
- Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
- The Role of Commitment in Dynamic Contracts: Evidence from Life Insurance
- Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Early default risk and surrender risk: impacts on participating life insurance policies
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