Pricing equity-linked life insurance with endogenous minimum guarantees
From MaRDI portal
Publication:689564
DOI10.1016/0167-6687(93)90236-IzbMATH Open0778.62093MaRDI QIDQ689564FDOQ689564
Authors: Anna Rita Bacinello, Fulvio Ortu
Publication date: 9 January 1994
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Recommendations
- Endogenous model of surrender conditions in equity-linked life insurance
- Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
- Hedging Equity-Linked Life Insurance Contracts
- Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
- Equity-linked life insurance: A model with stochastic interest rates
numerical resultsequity-linked policiesendogenous minimum guaranteesendowment policiesperiodic premiumportfolio of equitiespricing insurance contractssingle premium
Cites Work
Cited In (52)
- Better late than never: The case of the rollover option
- Pricing of multi-period rate of return guarantees.
- Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
- Equity-linked life insurance: A model with stochastic interest rates
- Probabilistic valuation of certain unit-linked contracts
- Reserving for maturity guarantees: Two approaches
- Pricing of Unit-linked Life Insurance Policies
- Affine stochastic mortality
- Bayesian Risk Management for Equity-Linked Insurance
- Two-phase selection of representative contracts for valuation of large variable annuity portfolios
- Quantile hedging for equity-linked contracts
- Application of data clustering and machine learning in variable annuity valuation
- Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
- Further discussion of some new unit-link policies
- Hedging and Reserving for Single-Premium Segregated Fund Contracts
- Quantile hedging on equity-linked life insurance contracts with transaction costs
- Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: the principle of equivalent forward preferences
- On accounting standards and fair valuation of life insurance and pension liabilities
- EFFICIENT HEDGING AND PRICING OF EQUITY-LINKED LIFE INSURANCE CONTRACTS ON SEVERAL RISKY ASSETS
- Endogenous model of surrender conditions in equity-linked life insurance
- Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts
- On pricing and reserving with-profits life insurance contracts
- Title not available (Why is that?)
- Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
- Equity-linked pension schemes with guarantees
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- On the optimal design of insurance contracts with guarantees
- A bivariate model for evaluating equity-linked policies with surrender option
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
- Optimal hedging and pricing of equity-linked life insurance contracts in a discrete-time incomplete market
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- Hedging guarantees in variable annuities under both equity and interest rate risks
- Analytical valuation of periodical premiums for equity-linked policies with minimum guarantee
- Evaluation of insurance products with guarantee in incomplete markets
- Thiele's differential equation with stochastic interest of diffusion type
- Title not available (Why is that?)
- Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
- A no arbitrage approach to Thiele's differential equation
- Pricing equity-linked pure endowments with risky assets that follow Lévy processes
- Valuation of segregated funds: shout options with maturity extensions.
- Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
- Pricing rate of return guarantees in regular premium unit linked insurance
- A general model for the analysis and valuation of guaranteed minimum benefits in fonds policies
- Equity-Indexed Life Insurance: Pricing and Reserving Using the Principle of Equivalent Utility
- Double barrier hitting time distributions with applications to exotic options
- Arithmetic averaging equity-linked life insurance policies in Germany
This page was built for publication: Pricing equity-linked life insurance with endogenous minimum guarantees
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q689564)