Fair valuation of insurance contracts under Lévy process specifications

DOI10.1016/J.INSMATHECO.2007.04.007zbMath1141.91519OpenAlexW2092266927MaRDI QIDQ939383

Rüdiger Kiesel, Stefan Kassberger, Thomas Liebmann

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.04.007

zbMATH Keywords

embedded optionsmodel riskrisk-neutral valuationinterest rate guaranteesparticipating contractsunit-linked contracts

Mathematics Subject Classification ID

Related Items (11)

The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ Cliquet option pricing in a jump-diffusion Lévy model ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ On the estimation of regime-switching Lévy models ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Pricing and capital requirements for with profit contracts: modelling considerations ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk

Cites Work

• The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
• 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
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• 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
• Financial Modelling with Jump Processes
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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