Development and pricing of a new participating contract

DOI10.1080/10920277.2006.10597420MaRDI QIDQ5018744zbMATH OpenOpenAlexFDO

Authors Carole Bernard, Olivier A. le Courtis, François Quittard-Pinon

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2006.10597420

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41)

Recommendations

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Equity-linked life insurance: A model with stochastic interest rates
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• 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
• Interest rate models -- theory and practice
• Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
• Market value of life insurance contracts under stochastic interest rates and default risk
• Mathematical methods for financial markets.

Cited in

(8)

• Pricing and hedging defaultable participating contracts with regime switching and jump risk
• Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method
• A performance analysis of participating life insurance contracts
• Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Protection of a company issuing a certain class of participating policies in a complete market framework
• On the regulator-insurer interaction in a structural model
• Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance

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