Valuing the profit share in participating pure-endowment policies with return of premiums

DOI10.1007/S13385-013-0082-8zbMath1304.91131OpenAlexW1975810002MaRDI QIDQ487583

Onofre Alves Simões, Ana Rita Ramos

Publication date: 22 January 2015

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

Full work available at URL: https://doi.org/10.1007/s13385-013-0082-8

zbMATH Keywords

stochastic simulationSolvency IIbest estimateprofit sharingpure-endowment

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

Cites Work

• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• Market value of life insurance contracts under stochastic interest rates and default risk
• Fair valuation of insurance contracts under Lévy process specifications
• Fair valuation of path-dependent participating life insurance contracts.
• Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• ON SURRENDER AND DEFAULT RISKS
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

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