A joint valuation of premium payment and surrender options in participating life insurance contracts
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Publication:654843
DOI10.1016/J.INSMATHECO.2011.08.004zbMATH Open1228.91048OpenAlexW2139863239WikidataQ59241750 ScholiaQ59241750MaRDI QIDQ654843FDOQ654843
Authors: Hato Schmeiser, Joël Wagner 
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
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Monte Carlo methodoptimal stopping problemparticipating life insurance contractsembedded optionspaid-up and resumptionsurrender
Cites Work
- Title not available (Why is that?)
- Arbitrage Theory in Continuous Time
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Minimum Rate of Return Guarantees: The Danish Case
- On the optimal design of insurance contracts with guarantees
- Pricing life insurance contracts with early exercise features
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Intervention options in life insurance
- Fair valuation of path-dependent participating life insurance contracts.
- Endogenous model of surrender conditions in equity-linked life insurance
- Risk-neutral valuation of participating life insurance contracts
- Quantitative analysis in financial markets. Collected papers of the New York University Mathematical Finance Seminar. Vol. 3
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Zur Bewertung von Optionen und Garantien bei Lebensversicherungen
- Valuation of Participating Life Insurance Liabilities
- An Actuarial Analysis of Participating Life Insurance
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
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Fair valuation of participating policies with surrender options and regime switching
- 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
- Life insurance surrender and liquidity risks
- Pricing life insurance contracts with early exercise features
- 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
- Policyholder exercise behavior in life insurance: the state of affairs
- Early default risk and surrender risk: impacts on participating life insurance policies
- 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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