Minimum Rate of Return Guarantees: The Danish Case
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Publication:4455899
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Cites work
- A stochastic calculus model of continuous trading: Complete markets
- A theory of bonus life insurance
- An equilibrium characterization of the term structure
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
Cited in
(29)- Pricing of multi-period rate of return guarantees.
- Cliquet-style return guarantees in a regime switching Lévy model
- Asset and liability modelling for participating policies with guarantees
- A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Cross-subsidizing effects between existing and new policyholders in traditional life insurance
- Minimum return guarantees, investment caps, and investment flexibility
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- A two-account model of pension saving contracts
- A performance analysis of participating life insurance contracts
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Modern life-care tontines
- Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
- Valuation of contingent guarantees using least-squares Monte Carlo
- Risk comparison of different bonus distribution approaches in participating life insurance
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Risk-neutral valuation of participating life insurance contracts
- The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement
- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Valuation of the interest rate guarantee embedded in defined contribution pension plans
- Fair valuation of insurance contracts under Lévy process specifications
- Surplus-linked life insurance
- The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Valuation of life insurance surrender and exchange options
- Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework?
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