Stochastic interest rate in life insurance: The principle of equivalence revisited
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Publication:4235019
DOI10.1080/03461238.1998.10413996zbMATH Open1031.62506OpenAlexW2071075667MaRDI QIDQ4235019FDOQ4235019
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
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Cites Work
- The pricing of options and corporate liabilities
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Hattendorff's theorem and Thiele's differential equation generalized
- Pricing of Unit-linked Life Insurance Policies
- Thiele's differential equation as a tool in product development in life insurance
- On the application of Thiele's differential equation in life insurance
- A stochastic version of Thiele's differential equation
- 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
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