Life insurance surrender and liquidity risks
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Publication:5079368
DOI10.1080/14697688.2021.1998586zbMath1491.91105OpenAlexW4200091864MaRDI QIDQ5079368
Hsiaoyin Chang, Hato Schmeiser
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1998586
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- A joint valuation of premium payment and surrender options in participating life insurance contracts
- Liquidity risk and arbitrage pricing theory
- Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors
- Efficient portfolio valuation incorporating liquidity risk
- Liquidity risk theory and coherent measures of risk
- An equilibrium characterization of the term structure
- An Actuarial Analysis of Participating Life Insurance
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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