Valuation of Participating Life Insurance Liabilities

DOI10.1080/03461230110106480zbMath1142.62092OpenAlexW2094256210MaRDI QIDQ5430571

Per Linnemann

Publication date: 16 December 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106480

zbMATH Keywords

reservingactuarial modellingcapitalization of future loadingsextension of paid-up methodguaranteed benefitsvaluation principlesvaluation strains

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (4)

Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ A joint valuation of premium payment and surrender options in participating life insurance contracts ⋮ Valuation of guaranteed unitized participating life insurance under MEGB2 distribution ⋮ On accounting standards and fair valuation of life insurance and pension liabilities

Cites Work

• On the application of Thiele's differential equation in life insurance
• Unnamed Item

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