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Equity-linked life insurance: A model with stochastic interest rates

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Author Info
Aase Nielsen, J.
Sandmann, Klaus

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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 16 (1995)
Issue (Month): 3 (July)
Pages: 225-253
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Handle: RePEc:eee:insuma:v:16:y:1995:i:3:p:225-253

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Web page: http://www.elsevier.com/locate/inca/505554

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  1. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March. [Downloadable!] (restricted)
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  1. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  2. Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
  3. Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
  4. Masahiko Egami & Hideki Iwaki, 2007. "An optimal life insurance policy in the investment-consumption problem in an incomplete market," Quantitative Finance Papers 0801.0195, arXiv.org. [Downloadable!]
  5. An Chen, 2005. "Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies," Bonn Econ Discussion Papers bgse19_2005, University of Bonn, Germany. [Downloadable!]
    Other versions:
  6. Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," Finance Working Papers 01-5, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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