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A Lévy process-based framework for the fair valuation of participating life insurance contracts

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  • Ballotta, Laura

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

Volume (Year): 37 (2005)
Issue (Month): 2 (October)
Pages: 173-196

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Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:173-196

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

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References

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  1. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 36, pages 394.
  2. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 125-144.
  3. Tanskanen, Antti Juho & Lukkarinen, Jani, 2003. "Fair valuation of path-dependent participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(3), pages 595-609, December.
  4. Stanton, Richard, 1997. " A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 1973-2002, December.
  5. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  6. Jarrow, Robert A & Rosenfeld, Eric R, 1984. "Jump Risks and the Intertemporal Capital Asset Pricing Model," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 57(3), pages 337-51, July.
  7. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management ysm65, Yale School of Management.
  8. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers, Queen's University, Department of Economics 1159, Queen's University, Department of Economics.
  9. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 75(2), pages 305-332, April.
  10. Eberlein, Ernst & Keller, Ulrich & Prause, Karsten, 1998. "New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 71(3), pages 371-405, July.
  11. Cummins, J. David & Miltersen, Kristian R. & Persson, Svein-Arne, 2004. "International Comparison of Interest Rate Guarantees in Life Insurance," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2004/18, Department of Business and Management Science, Norwegian School of Economics.
  12. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, American Finance Association, vol. 52(5), pages 2003-49, December.
  13. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  14. 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, Elsevier, vol. 3(3), pages 195-213, June.
  15. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers, Yale School of Management ysm54, Yale School of Management.
  16. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 63(4), pages 511-24, October.
  17. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 26(1), pages 37-57, February.
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Citations

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Cited by:
  1. Kleinow, Torsten & Willder, Mark, 2007. "The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 40(3), pages 445-458, May.
  2. Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers, arXiv.org 1005.4417, arXiv.org, revised Jan 2011.
  3. Gerstner, Thomas & Griebel, Michael & Holtz, Markus & Goschnick, Ralf & Haep, Marcus, 2008. "A general asset-liability management model for the efficient simulation of portfolios of life insurance policies," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(2), pages 704-716, April.
  4. Kleinow, Torsten, 2009. "Valuation and hedging of participating life-insurance policies under management discretion," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 78-87, February.
  5. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, European Association of Environmental and Resource Economists, European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  6. Todorov, Viktor & Tauchen, George, 2010. "Activity signature functions for high-frequency data analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 154(2), pages 125-138, February.
  7. An Chen & Xia Su, 2009. "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer, Springer, vol. 32(1), pages 13-33, May.
  8. Zemp, Alexandra, 2011. "Risk comparison of different bonus distribution approaches in participating life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 49(2), pages 249-264, September.
  9. Ballotta, Laura & Esposito, Giorgia & Haberman, Steven, 2006. "The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 39(3), pages 356-375, December.
  10. Chang, Lung-fu & Hung, Mao-wei, 2009. "Analytical valuation of catastrophe equity options with negative exponential jumps," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 44(1), pages 59-69, February.
  11. Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 419-433, February.

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