Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Advances in prospect theory: cumulative representation of uncertainty
- Cliquet-style return guarantees in a regime switching Lévy model
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
- Dynamic hybrid products with guarantees -- an optimal portfolio framework
- Equity-linked life insurance based on traditional products: the case of select products
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Financial economics. A concise introduction to classical and behavioral finance
- Martingales and arbitrage in multiperiod securities markets
- Minimum Rate of Return Guarantees: The Danish Case
- Minimum return guarantees, investment caps, and investment flexibility
- Return smoothing in life insurance from a client perspective
- The pricing of options and corporate liabilities
- The Probability Weighting Function
Cited in
(6)- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
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- Return smoothing in life insurance from a client perspective
- Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
- Deterministic lifestyle investment strategy in mixed life insurance contracts
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