PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
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Publication:5483503
DOI10.1142/S0219024906003688zbMath1184.91110OpenAlexW2043653288WikidataQ60148458 ScholiaQ60148458MaRDI QIDQ5483503
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
perturbation techniquescontingent claims valuationparticipating policiesreversionary reserve distribution
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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