Default risk, bankruptcy procedures and the market value of life insurance liabilities
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Recommendations
- Market value of life insurance contracts under stochastic interest rates and default risk
- The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
- Evaluation and default time for companies with uncertain cash flows
- Liquidation risk in insurance under contemporary regulatory frameworks
- On surrender and default risks
Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 942202 (Why is no real title available?)
- A combinatorial approach for pricing Parisian options.
- Brownian Excursions and Parisian Barrier Options
- Computational Science - ICCS 2004
- Market value of life insurance contracts under stochastic interest rates and default risk
- On a generalization of the arc-sine law
- On accounting standards and fair valuation of life insurance and pension liabilities
- PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
- THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
- The pricing of options and corporate liabilities
Cited in
(21)- Early default risk and surrender risk: impacts on participating life insurance policies
- Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
- Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
- The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach
- OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
- The impact of longevity and investment risk on a portfolio of life insurance liabilities
- Fair valuation of equity-linked policies under insurer default risk
- Liquidation risk in insurance under contemporary regulatory frameworks
- Double-sided Parisian option pricing
- Evaluation and default time for companies with uncertain cash flows
- Valuation of Participating Life Insurance Liabilities
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
- A utility-based comparison of pension funds and life insurance companies under regulatory constraints
- A closed-form extension to the Black-Cox model
- Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
- Parisian exchange options
- On the regulator-insurer interaction in a structural model
- Pricing American-style Parisian down-and-out call options
- Knightian uncertainty and insurance regulation decision
- Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
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