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

DOI10.1007/S13385-013-0082-8MaRDI QIDQ487583zbMATH OpenOpenAlexFDO

Authors Ana Rita Ramos, Onofre Alves Simões

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)

Recommendations

• Market Based Tools for Managing the Life Insurance Company
• Valuation of Participating Life Insurance Liabilities
• On pricing and reserving with-profits life insurance contracts
• Surplus participation schemes for life annuities under Solvency II
• Measuring profitability of life insurance products under Solvency II

Cites work

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

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