Stochastic interest rate in life insurance: The principle of equivalence revisited

DOI10.1080/03461238.1998.10413996MaRDI QIDQ4235019zbMATH OpenOpenAlexFDO

Authors Svein-Arne Persson

Publication date 25 March 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1998.10413996

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Valuation of life insurance products under stochastic interest rates
• scientific article; zbMATH DE number 1865407
• Equity-linked life insurance: A model with stochastic interest rates
• The premium and the risk of a life policy in the presence of interest rate fluctuations

Cites work

• A stochastic version of Thiele's differential equation
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Hattendorff's theorem and Thiele's differential equation generalized
• On the application of Thiele's differential equation in life insurance
• Pricing of Unit-linked Life Insurance Policies
• The pricing of options and corporate liabilities
• Thiele's differential equation as a tool in product development in life insurance
• Thiele's differential equation with stochastic interest of diffusion type

Cited in

(14)

• The premium and the risk of a life policy in the presence of interest rate fluctuations
• Time-risk discount valuation of life contacts
• Equivalence principle and Jewell's inequality
• A law of large numbers approach to valuation in life insurance
• No-arbitrage pricing for life insurance and annuities.
• Principle of equivalent utility and universal variable life insurance pricing
• Valuation of life insurance products under stochastic interest rates
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
• An actuarial model for universal life insurance under stochastic rate of interest
• Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview
• Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio
• Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
• A stochastic model for financial evaluation: Applications to actuarial constructs

This page was built for publication: Stochastic interest rate in life insurance: The principle of equivalence revisited

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4235019)