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Reserving for maturity guarantees: Two approaches

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Author Info
Boyle, Phelim P.
Hardy, Mary R.
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 21 (1997)
Issue (Month): 2 (November)
Pages: 113-127
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Handle: RePEc:eee:insuma:v:21:y:1997:i:2:p:113-127

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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. Jørgensen, Peter Løchte, 2006. "Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs," Finance Research Group Working Papers F-2006-09, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  3. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. David Prieul & Vladislav Putyatin & Tarek Nassar, 2001. "On pricing and reserving with-profits life insurance contracts," Applied Mathematical Finance, Taylor and Francis Journals, vol. 8(3), pages 145-166, September. [Downloadable!] (restricted)
  5. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Center for Financial Institutions Working Papers 01-06, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  6. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "Asset and Liability Modeling for Participating Policies with Guarantees," Center for Financial Institutions Working Papers 00-41, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  7. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers 06-43, Bank of Canada. [Downloadable!]
    Other versions:
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