On surrender and default risks
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Publication:4906517
DOI10.1111/J.1467-9965.2011.00487.XzbMATH Open1282.91156OpenAlexW1878347647MaRDI QIDQ4906517FDOQ4906517
Authors: Olivier Le Courtois, Hidetoshi Nakagawa 
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00487.x
Recommendations
- Early default risk and surrender risk: impacts on participating life insurance policies
- From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
- Reserve-dependent surrender rates
- Fair valuation of equity-linked policies under insurer default risk
- Exogenous and endogenous risk factors management to predict surrender behaviours
Cites Work
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Valuing American options by simulation: a simple least-squares approach
- Credit risk: Modelling, valuation and hedging
- Portfolio Optimization and Performance Analysis
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Theory of constant proportion portfolio insurance
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of path-dependent participating life insurance contracts.
- Market value of life insurance contracts under stochastic interest rates and default risk
- A note on the inhomogeneous linear stochastic differential equation.
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
Cited In (14)
- Surrender contagion in life insurance
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Explicit portfolio for unit-linked life insurance contracts with surrender option
- Reaching nirvana with a defaultable asset?
- Fourier based methods for the management of complex life insurance products
- Valuing the profit share in participating pure-endowment policies with return of premiums
- Reduced-form framework for multiple ordered default times under model uncertainty
- Default risk, bankruptcy procedures and the market value of life insurance liabilities
- Early default risk and surrender risk: impacts on participating life insurance policies
- Early surrender and the distribution of policy reserves
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Exogenous and endogenous risk factors management to predict surrender behaviours
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