Pricing and capital requirements for with profit contracts: modelling considerations

DOI10.1080/14697680802452068MaRDI QIDQ3650962zbMATH OpenOpenAlexFDO

Authors Laura Ballotta

Publication date 7 December 2009

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://openaccess.city.ac.uk/id/eprint/5816/1/wp6_2007.pdf

zbMATH Keywords

Monte Carlo methodsincomplete marketsparticipating contractssolvency requirementsFair valuationLévy processes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

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Cites work

• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of insurance contracts under Lévy process specifications
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Monte Carlo methods for security pricing
• Option Pricing With V. G. Martingale Components¹
• Option pricing when underlying stock returns are discontinuous
• The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
• The Variance Gamma Process and Option Pricing
• The cumulant process and Esscher's change of measure
• The pricing of options and corporate liabilities

Cited in

(6)

• Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
• Hybrid Lévy models: design and computational aspects
• On pricing and reserving with-profits life insurance contracts
• Fourier based methods for the management of complex life insurance products
• Pricing participating policies under the Meixner process and stochastic volatility
• Variable annuities in a Lévy-based hybrid model with surrender risk

Describes a project that uses

Uses Software

• Cephes

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