Default risk, bankruptcy procedures and the market value of life insurance liabilities

DOI10.1016/J.INSMATHECO.2006.04.005zbMATH Open1141.91494OpenAlexW2119847373MaRDI QIDQ995500FDOQ995500

Authors: An Chen, Michael Suchanecki 

Publication date: 3 September 2007

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

Full work available at URL: http://hdl.handle.net/10419/22953

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

zbMATH Keywords

default riskbankruptcy procedurescontingent claims pricingequity-linked life insuranceliquidation riskparisian options

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• Brownian Excursions and Parisian Barrier Options
• Title not available (Why is that?)
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• Market value of life insurance contracts under stochastic interest rates and default risk
• On a generalization of the arc-sine law
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• On accounting standards and fair valuation of life insurance and pension liabilities
• A combinatorial approach for pricing Parisian options.
• Computational Science - ICCS 2004

Cited In (21)

• The impact of longevity and investment risk on a portfolio of life insurance liabilities
• Pricing American-style Parisian down-and-out call options
• Evaluation and default time for companies with uncertain cash flows
• A utility-based comparison of pension funds and life insurance companies under regulatory constraints
• Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach
• Double-sided Parisian option pricing
• Parisian exchange options
• Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process
• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• A closed-form extension to the Black-Cox model
• Liquidation risk in insurance under contemporary regulatory frameworks
• Valuation of Participating Life Insurance Liabilities
• On the regulator-insurer interaction in a structural model
• Knightian uncertainty and insurance regulation decision
• Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
• Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies
• Fair valuation of equity-linked policies under insurer default risk
• OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION
• Early default risk and surrender risk: impacts on participating life insurance policies
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach

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