Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

DOI10.1080/03461230110106417zbMath1092.91053OpenAlexW2003124906MaRDI QIDQ5467676

Svein-Arne Persson, Kristian R. Miltersen

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230110106417

zbMATH Keywords

life insurance bonus annual minimum rate of return guaranteed surplus distribution mechanism

Mathematics Subject Classification ID

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Related Items (40)

A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio ⋮ Risk-neutral valuation of participating life insurance contracts ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements ⋮ The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies ⋮ The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees ⋮ Market value of life insurance contracts under stochastic interest rates and default risk ⋮ Intervention options in life insurance ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance ⋮ Pricing of multi-period rate of return guarantees. ⋮ Pricing and hedging guaranteed annuity options via static option replication. ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ Optimal design of profit sharing rates by FFT ⋮ On the optimal design of insurance contracts with guarantees ⋮ Valuation of life insurance surrender and exchange options ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Fair valuation of insurance contracts under Lévy process specifications ⋮ PARTICIPATING PAYOUT LIFE ANNUITIES: LESSONS FROM GERMANY ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ An efficient frontier for participating policies in a continuous-time economy ⋮ A general asset-liability management model for the efficient simulation of portfolios of life insurance policies ⋮ Valuation and hedging of participating life-insurance policies under management discretion ⋮ A two-account model of pension saving contracts ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Minimum Rate of Return Guarantees: The Danish Case ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Measuring profitability of life insurance products under Solvency II ⋮ Multi-year analysis of solvency capital in life insurance ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ A Lévy process-based framework for the fair valuation of participating life insurance contracts ⋮ Development and Pricing of a New Participating Contract ⋮ Surplus-linked life insurance ⋮ Principle of equivalent utility and universal variable life insurance pricing

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