Principle of equivalent utility and universal variable life insurance pricing
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Publication:3440855
DOI10.1080/03461230600986128zbMath1151.91059OpenAlexW2117669250MaRDI QIDQ3440855
Publication date: 29 May 2007
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230600986128
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Related Items (4)
Indifference pricing of a life insurance portfolio with risky asset driven by a shot-noise process ⋮ Optimal dividend and investment problems under Sparre Andersen model ⋮ Correlated intensity, counter party risks, and dependent mortalities ⋮ Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
Cites Work
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Forward-backward stochastic differential equations and their applications
- Utility based optimal hedging in incomplete markets.
- An example of indifference prices under exponential preferences
- Hattendorff's theorem and Thiele's differential equation generalized
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Exponential Hedging and Entropic Penalties
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Introduction to a theory of value coherent with the no-arbitrage principle
- Utility maximization in incomplete markets with random endowment
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