Minimum Rate of Return Guarantees: The Danish Case

DOI10.1080/03461230110106282zbMATH Open1039.91040OpenAlexW1977417264MaRDI QIDQ4455899FDOQ4455899

Mette Gerster Hansen, Kristian R. Miltersen

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1080/03461230110106282

zbMATH Keywords

optionbonus reserveminimum rate of returnsmooth surplus distribution mechanism

Mathematics Subject Classification ID

Cites Work

• An equilibrium characterization of the term structure
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• A theory of bonus life insurance
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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
• VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO
• 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
• MODERN LIFE-CARE TONTINES
• Cross-subsidizing effects between existing and new policyholders in traditional life insurance
• On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
• Minimum return guarantees, investment caps, and investment flexibility
• A two-account model of pension saving contracts
• A performance analysis of participating life insurance contracts
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
• Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
• Risk comparison of different bonus distribution approaches in participating life insurance
• 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
• Surplus-linked life insurance
• Fair valuation of insurance contracts under Lévy process specifications
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
• 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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