Risk-neutral valuation of participating life insurance contracts

DOI10.1016/j.insmatheco.2006.02.003zbMath1098.91067MaRDI 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

zbMATH Keywords

embedded options; risk-neutral valuation; interest rate guarantees; participating life insurance contracts

Mathematics Subject Classification ID

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

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Cites Work