The conversion option in life insurance

DOI10.1016/J.INSMATHECO.2009.12.009MaRDI QIDQ659249zbMATHOpenAlexFDO

Authors Karen C. Su

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2009.12.009

zbMATH Keywords

stochastic modellife insuranceembedded options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A binomial model for valuing equity-linked policies embedding surrender options
• Endogenous model of surrender conditions in equity-linked life insurance
• Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Intervention options in life insurance
• Modeling and forecasting U.S. mortality. (With discussion)
• Risk-neutral valuation of participating life insurance contracts
• Valuation of life insurance surrender and exchange options

Cited in

(2)

• Multi-state models for evaluating conversion options in life insurance
• Mortgage life insurance: a rationale for a time limit in switching rights

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