Development and pricing of a new participating contract
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Publication:5018744
DOI10.1080/10920277.2006.10597420zbMATH Open1480.91185OpenAlexW3122198680MaRDI QIDQ5018744FDOQ5018744
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
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Title not available (Why is that?)
- Mathematical methods for financial markets.
- Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Interest rate models -- theory and practice
- 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
- Equity-linked life insurance: A model with stochastic interest rates
Cited In (8)
- Numerical pricing of CoCo bonds with Parisian trigger feature using the Fortet method
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
- 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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