A joint valuation of premium payment and surrender options in participating life insurance contracts
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Recommendations
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Reserve-dependent surrender rates
- An analytical study of participating policies with minimum rate guarantee and surrender option
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- An Actuarial Analysis of Participating Life Insurance
- Arbitrage Theory in Continuous Time
- Endogenous model of surrender conditions in equity-linked life insurance
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of path-dependent participating life insurance contracts.
- Intervention options in life insurance
- Minimum Rate of Return Guarantees: The Danish Case
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- On the optimal design of insurance contracts with guarantees
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Pricing life insurance contracts with early exercise features
- Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. 3
- Risk-neutral valuation of participating life insurance contracts
- Valuation of Participating Life Insurance Liabilities
- Zur Bewertung von Optionen und Garantien bei Lebensversicherungen
Cited in
(23)- Surrender contagion in life insurance
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- Reserve-dependent benefits and costs in life and health insurance contracts
- Implicit options in life insurance contracts
- Zur Bewertung von Optionen in Lebensversicherungsprodukten: Die Option des Versicherungsunternehmens auf Senkung der Gewinnbeteiligung
- Fair valuation of participating policies with surrender options and regime switching
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Explicit portfolio for unit-linked life insurance contracts with surrender option
- On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes
- Pricing life insurance contracts with early exercise features
- Life insurance surrender and liquidity risks
- A full Monte Carlo approach to the valuation of the surrender option embedded in life insurance contracts
- Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective
- Zur Bewertung von Optionen und Garantien bei Lebensversicherungen
- Intervention options in life insurance
- Pension saving schemes with return smoothing mechanism
- Early default risk and surrender risk: impacts on participating life insurance policies
- Policyholder exercise behavior in life insurance: the state of affairs
- Lifelong health insurance covers with surrender values: updating mechanisms in the presence of medical inflation
- Valuation of life insurance surrender and exchange options
- The valuation of unit-linked policies with or without surrender options
- Nonparametric estimation of net premium functionals for different statuses in collective life insurance
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