A joint valuation of premium payment and surrender options in participating life insurance contracts
From MaRDI portal
Publication:654843
DOI10.1016/j.insmatheco.2011.08.004zbMath1228.91048WikidataQ59241750 ScholiaQ59241750MaRDI QIDQ654843
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://www.alexandria.unisg.ch/146681/1/Binder_AFIR-WP77_online.pdf
Monte Carlo method; embedded options; optimal stopping problem; participating life insurance contracts; paid-up and resumption; surrender
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Pension saving schemes with return smoothing mechanism, On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes, Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective, Nonparametric Estimation of Net Premium Functionals for Different Statuses in Collective Life Insurance
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