Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates

DOI10.1007/S13385-023-00354-4zbMATH Open1537.9125MaRDI QIDQ6550182FDOQ6550182

Authors: Vanessa Hanna, Pierre Devolder 

Publication date: 4 June 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

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zbMATH Keywords

change of measurestochastic interest ratesstochastic mortalityinvestment guaranteemixed insurance contractsdependence finance-mortality

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
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• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• Equity-linked life insurance based on traditional products: the case of select products
• Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
• Pricing pension buy-outs under stochastic interest and mortality rates

Cited In (1)

• Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products

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