Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
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Recommendations
- Risk-neutral valuation of participating life insurance contracts
- Market value of life insurance contracts under stochastic interest rates and default risk
- 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
- Valuation of life insurance products under stochastic interest rates
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A Green's function for a convertible bond using the Vasicek model
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Equity-linked life insurance: A model with stochastic interest rates
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Fair valuation of path-dependent participating life insurance contracts.
- Market Based Tools for Managing the Life Insurance Company
- Market value of life insurance contracts under stochastic interest rates and default risk
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Risk measure and fair valuation of an investment guarantee in life insurance
- Risk-neutral valuation of participating life insurance contracts
- Risk-neutral valuation. Pricing and hedging of financial derivatives.
- The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
Cited in
(33)- Cliquet-style return guarantees in a regime switching Lévy model
- A cautionary note on natural hedging of longevity risk
- Time-consistent and market-consistent actuarial valuation of the participating pension contract
- Optimal Portfolio Choice in Retirement With Participating Life Annuities
- Analyzing the interest rate risk of equity-indexed annuities via scenario matrices
- Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
- Bayesian analysis of equity-linked savings contracts with American-style options
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Valuation and risk assessment of participating life insurance in the presence of credit risk
- Cross-subsidizing effects between existing and new policyholders in traditional life insurance
- Fair Valuation of Various Participation Schemes in Life Insurance
- Fractional age assumption based on cubic polynomial interpolation
- On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
- Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- Valuation of contingent claims with mortality and interest rate risks
- Long-term stability of a life insurer's balance sheet
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Risk comparison of different bonus distribution approaches in participating life insurance
- Risk-neutral valuation of participating life insurance contracts
- Market value of life insurance contracts under stochastic interest rates and default risk
- Surplus participation schemes for life annuities under Solvency II
- Unisex pricing of German participating life annuities -- boon or bane for customer and insurance company?
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE
- Long guarantees with short duration: the rolling annuity
- Fair valuation of insurance contracts under Lévy process specifications
- Early default risk and surrender risk: impacts on participating life insurance policies
- Fair valuation of path-dependent participating life insurance contracts.
- The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design
- Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates
- Runoff or redesign? Alternative guarantees and new business strategies for participating life insurance
- On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
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