Pricing and capital requirements for with profit contracts: modelling considerations
DOI10.1080/14697680802452068zbMATH Open1180.91160OpenAlexW3121221827MaRDI QIDQ3650962FDOQ3650962
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
Recommendations
- On pricing and reserving with-profits life insurance contracts
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- scientific article; zbMATH DE number 1795853
- Fair valuation of insurance contracts under Lévy process specifications
- Fair valuation of path-dependent participating life insurance contracts.
Monte Carlo methodsincomplete marketsparticipating contractssolvency requirementsFair valuationLévy processes
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- The Variance Gamma Process and Option Pricing
- Option pricing when underlying stock returns are discontinuous
- Monte Carlo methods for security pricing
- The cumulant process and Esscher's change of measure
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Option Pricing With V. G. Martingale Components1
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- 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
- The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
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
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