Market value of life insurance contracts under stochastic interest rates and default risk

DOI10.1016/j.insmatheco.2005.01.002zbMath1242.60068OpenAlexW2008524151MaRDI QIDQ882875

Carole Bernard, François Quittard-Pinon, Olivier Le Courtois

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.01.002

zbMATH Keywords

Default riskContingent claims valuationFortet's equationParticipating life insurance policiesStochastic interest rates

Mathematics Subject Classification ID

Related Items (34)

Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ Pricing derivatives with barriers in a stochastic interest rate environment ⋮ Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market ⋮ NUMERICAL PRICING OF CoCo BONDS WITH PARISIAN TRIGGER FEATURE USING THE FORTET METHOD ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ A lattice approach to evaluate participating policies in a stochastic interest rate framework ⋮ Valuation of default-sensitive claims under imperfect information ⋮ Optimal design of profit sharing rates by FFT ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ A dimension-reduction algorithm for the valuation of surrender options in EIA contracts with stochastic interest rates ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment ⋮ Fair valuation of insurance contracts under Lévy process specifications ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ ON SURRENDER AND DEFAULT RISKS ⋮ The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance ⋮ Fair Valuation of Equity-Linked Policies under Insurer Default Risk ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ On the regulator-insurer interaction in a structural model ⋮ Valuing risky debt: a new model combining structural information with the reduced-form approach ⋮ Optimal asset allocation for participating contracts under the VaR and PI constraint ⋮ Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts ⋮ Knightian uncertainty and insurance regulation decision ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ The impact of longevity and investment risk on a portfolio of life insurance liabilities ⋮ Policy characteristics and stakeholder returns in participating life insurance: which contracts can lead to a win-win? ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract ⋮ Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model ⋮ Development and Pricing of a New Participating Contract

Cites Work

• Fair valuation of path-dependent participating life insurance contracts.
• Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• 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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