PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES

DOI10.1142/S0219024906003688zbMath1184.91110OpenAlexW2043653288WikidataQ60148458 ScholiaQ60148458MaRDI QIDQ5483503

Yue Kuen Kwok, Chi Chiu Chu

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003688

zbMATH Keywords

perturbation techniquescontingent claims valuationparticipating policiesreversionary reserve distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (7)

An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ Pricing participating policies under the Meixner process and stochastic volatility ⋮ EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ On valuing participating life insurance contracts with conditional heteroscedasticity ⋮ Pricing participating products under a generalized jump-diffusion model ⋮ Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach

Cites Work

• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• On pricing and reserving with-profits life insurance contracts
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

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