Equity-linked pension schemes with guarantees

DOI10.1016/J.INSMATHECO.2011.08.012zbMATH Open1228.91045OpenAlexW3124032179MaRDI QIDQ654835FDOQ654835

Authors: Klaus Sandmann, Erik Schlögl, Jørgen Aase Nielsen 

Publication date: 21 December 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp270.pdf

Recommendations

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• Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung

zbMATH Keywords

Asian optionpension fundsforward risk adjusted measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• The value of an Asian option
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Prices and sensitivities of Asian options: A survey
• Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
• Changes of numéraire, changes of probability measure and option pricing
• Regression-based algorithms for life insurance contracts with surrender guarantees
• Valuation of guaranteed annuity conversion options.
• The design of equity-indexed annuities
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• Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
• The concept of comonotonicity in actuarial science and finance: applications.
• An easy computable upper bound for the price of an arithmetic Asian option
• Equity-linked life insurance: A model with stochastic interest rates
• Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
• Quantile hedging for equity-linked contracts
• Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Title not available (Why is that?)
• Hedging Equity-Linked Life Insurance Contracts
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Pricing rate of return guarantees in regular premium unit linked insurance

Cited In (7)

• A new approach for satisfactory pensions with no guarantees
• Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
• The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk
• Minimum return guarantees, investment caps, and investment flexibility
• Minimum return guarantees with fund switching rights -- an optimal stopping problem
• On the optimal design of insurance contracts with guarantees
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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