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

DOI10.1007/S13385-023-00354-4MaRDI QIDQ6550182zbMATH OpenFDO

Authors Vanessa Hanna, Pierre Devolder

Publication date 4 June 2024

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

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)

Recommendations

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

• A generalized pricing framework addressing correlated mortality and interest risks: a change of probability measure approach
• Affine processes for dynamic mortality and actuarial valuations
• An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks
• Dynamic hybrid products in life insurance: assessing the policyholders' viewpoint
• Equity-linked life insurance based on traditional products: the case of select products
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Market value of life insurance contracts under stochastic interest rates and default risk
• Mean reversion in stochastic mortality: why and how?
• Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
• Mortality derivatives and the option to annuitise.
• On the (in-)dependence between financial and actuarial risks
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors
• Pricing interest-rate-derivative securities
• Pricing pension buy-outs under stochastic interest and mortality rates
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• Valuation of contingent claims with mortality and interest rate risks

Cited in

(1)

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

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