Valuation of Participating Life Insurance Liabilities

DOI10.1080/03461230110106480MaRDI QIDQ5430571zbMATH OpenOpenAlexFDO

Authors Per Linnemann

Publication date 16 December 2007

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230110106480

zbMATH Keywords

actuarial modellingcapitalization of future loadingsextension of paid-up methodguaranteed benefitsreservingvaluation principlesvaluation strains

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Valuation and risk assessment of participating life insurance in the presence of credit risk
• Risk-neutral valuation of participating life insurance contracts
• Fair Valuation of Various Participation Schemes in Life Insurance
• An Actuarial Analysis of Participating Life Insurance
• Fair valuation of path-dependent participating life insurance contracts.
• Valuation and hedging of participating life-insurance policies under management discretion
• Valuation of guaranteed unitized participating life insurance under GEV distribution
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• scientific article; zbMATH DE number 3105039

Cites work

• On the application of Thiele's differential equation in life insurance
• Safe-side requirements in the framework of multistate models for the insurances of the person

Cited in

(9)

• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• scientific article; zbMATH DE number 591095 (Why is no real title available?)
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Valuing the profit share in participating pure-endowment policies with return of premiums
• On accounting standards and fair valuation of life insurance and pension liabilities
• An Actuarial Analysis of Participating Life Insurance
• Market Based Tools for Managing the Life Insurance Company
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• On technical bases and surplus in life insurance

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