Implicit embedded options in life insurance contracts. A market consistent valuation framework

DOI10.1007/978-3-7908-2843-6MaRDI QIDQ428975zbMATH OpenOpenAlexFDO

Authors Nils Rüfenacht

Publication date 25 June 2012

Published in Contributions to Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2843-6

zbMATH Keywords

risk managementlife insuranceinterest rate theoryoption pricing theory

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Implicit options in life insurance contracts
• Zur Bewertung von Optionen in Lebensversicherungsprodukten: Die Option des Versicherungsunternehmens auf Senkung der Gewinnbeteiligung
• Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts
• Zur Bewertung von Optionen und Garantien bei Lebensversicherungen

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