Valuation of guaranteed unit linked contracts

MaRDI QIDQ2801418zbMATH OpenFDO

Authors Alessandro Jori

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=2

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• Pricing rate of return guarantees in regular premium unit linked insurance
• Probabilistic valuation of certain unit-linked contracts
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
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• Endogenous model of surrender conditions in equity-linked life insurance

Cited in

(6)

• Reserving for maturity guarantees: Two approaches
• Analytical pricing of the unit-linked endowment with guarantees and periodic premiums
• scientific article; zbMATH DE number 5159153
• Probabilistic valuation of certain unit-linked contracts
• Bewertung eines Kapitals und Rentenfaktoren
• Pricing rate of return guarantees in regular premium unit linked insurance

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