The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees

DOI10.1080/14697688.2013.825922MaRDI QIDQ2879031zbMATHOpenAlexFDO

Authors Alexander Szimayer

Publication date 5 September 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/71895

zbMATH Keywords

limited rationalityunit-linked life insurance contractssurrender guaranteefair contract analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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)

• Early default risk and surrender risk: impacts on participating life insurance policies
• Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
• Stress scenario generation for solvency and risk management
• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Time-consistent and market-consistent actuarial valuation of the participating pension contract
• Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method
• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• Explicit portfolio for unit-linked life insurance contracts with surrender option
• Optimal surrender policy for variable annuity guarantees
• The Role of Commitment in Dynamic Contracts: Evidence from Life Insurance
• Surrender contagion in life insurance
• Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
• A joint valuation of premium payment and surrender options in participating life insurance contracts

This page was built for publication: The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2879031)