On surrender and default risks
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Publication:4906517
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
- A note on the inhomogeneous linear stochastic differential equation.
- Credit risk: Modelling, valuation and hedging
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- 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
- Portfolio Optimization and Performance Analysis
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- Theory of constant proportion portfolio insurance
- Valuing American options by simulation: a simple least-squares approach
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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