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Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

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Author Info
Grosen, Anders
Lochte Jorgensen, Peter
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File URL: http://www.sciencedirect.com/science/article/B6V8N-3YDGGWP-4/2/4e1f477defd9cd2127a7c706e3a2dee9
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Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 26 (2000)
Issue (Month): 1 (February)
Pages: 37-57
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Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:37-57

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

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  1. 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:
  2. Døskeland, Trond M. & Nordahl, Helge A., 2006. "Intergenerational Effects of Guaranteed Pension Contracts," Discussion Papers 2006/13, Department of Finance and Management Science, Norwegian School of Economics and Business Administration, revised 21 Jun 2007. [Downloadable!]
  3. Døskeland, Trond M. & Nordahl, Helge A., 2006. "Optimal Pension Insurance Design," Discussion Papers 2006/14, Department of Finance and Management Science, Norwegian School of Economics and Business Administration, revised 21 Jun 2007. [Downloadable!]
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