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Asset and liability modelling for participating policies with guarantees

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Author Info
Consiglio, Andrea
Cocco, Flavio
Zenios, Stavros A.

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File URL: http://www.sciencedirect.com/science/article/B6VCT-4N3P04R-2/2/465d9dd8cb0999c4a25f01196ee7a407
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 186 (2008)
Issue (Month): 1 (April)
Pages: 380-404
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Handle: RePEc:eee:ejores:v:186:y:2008:i:1:p:380-404

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Brennan, Michael J. & Schwartz, Eduardo S., 1976. "The pricing of equity-linked life insurance policies with an asset value guarantee," Journal of Financial Economics, Elsevier, vol. 3(3), pages 195-213, June. [Downloadable!] (restricted)
  2. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November. [Downloadable!] (restricted)
  3. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  4. Sergio Siglienti, 2000. "Consequences of the Reduction of Interest Rates on Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan Journals, vol. 25(1), pages 63-77, January. [Downloadable!] (restricted)
  5. Brennan, Michael J & Schwartz, Eduardo S, 1979. "Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee," Journal of Business, University of Chicago Press, vol. 52(1), pages 63-93, January. [Downloadable!] (restricted)
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This page was last updated on 2009-12-3.

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