Risk-neutral valuation of participating life insurance contracts
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Publication:849584
DOI10.1016/j.insmatheco.2006.02.003zbMath1098.91067OpenAlexW2076133863MaRDI QIDQ849584
Rüdiger Kiesel, Jochen Ruß, Daniel J. Bauer, Alexander Kling
Publication date: 31 October 2006
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.003
embedded optionsrisk-neutral valuationinterest rate guaranteesparticipating life insurance contracts
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Cites Work
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Fair valuation of path-dependent participating life insurance contracts.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Pricing of Unit-linked Life Insurance Policies
- Minimum Rate of Return Guarantees: The Danish Case
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
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