Recommendations
- Multi-state models for evaluating conversion options in life insurance
- Valuation of guaranteed annuity conversion options.
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- Zur Bewertung von Optionen und Garantien bei Lebensversicherungen
- Zur Bewertung von Optionen in Lebensversicherungsprodukten: Die Option des Versicherungsunternehmens auf Senkung der Gewinnbeteiligung
Cites work
- A binomial model for valuing equity-linked policies embedding surrender options
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- 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
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