Fair Valuation of Various Participation Schemes in Life Insurance

DOI10.2143/AST.35.1.583176MaRDI QIDQ5490591zbMATH OpenOpenAlexFDO

Authors Pierre Devolder, Immaculada Domínguez-Fabián

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.35.1.583176

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Fair valuation of path-dependent participating life insurance contracts.
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Risk-neutral valuation of participating life insurance contracts

Cites work

• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Option pricing: A simplified approach
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts

Cited in

(4)

• A two-account model of pension saving contracts
• Valuation of Participating Life Insurance Liabilities
• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• Fair valuation of path-dependent participating life insurance contracts.

This page was built for publication: Fair Valuation of Various Participation Schemes in Life Insurance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5490591)