scientific article; zbMATH DE number 5252498

MaRDI QIDQ5448402zbMATH OpenFDO

Authors Albina Orlando, Massimiliano Politano

Publication date 20 March 2008

zbMATH Keywords

fair valuationLee-Carter modelparticipating policyrisk analysis

Mathematics Subject Classification ID

Stochastic processes (60G99) Monte Carlo methods (65C05)

Recommendations

• Valuation and risk assessment of participating life insurance in the presence of credit risk
• Risk comparison of different bonus distribution approaches in participating life insurance
• An Actuarial Analysis of Participating Life Insurance
• Early default risk and surrender risk: impacts on participating life insurance policies
• Risk-neutral valuation of participating life insurance contracts
• Risk comparisons of premium rules: Optimality and a life insurance study
• Dynamics of solvency risk in life insurance liabilities
• A performance analysis of participating life insurance contracts

Cited in

(4)

• A lattice approach to evaluate participating policies in a stochastic interest rate framework
• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• Stochastic actuarial valuations in double-indexed pension annuity assessment
• Participating life insurance policies: an accurate and efficient parallel software for COTS clusters

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