Advanced Search
MyIDEAS: Login to save this article or follow this journal

Endogenous model of surrender conditions in equity-linked life insurance

Contents:

Author Info

  • Bacinello, Anna Rita
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-4G63J1D-1/2/039e9e7c84f387f448c3d9a57875a586
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

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

    Volume (Year): 37 (2005)
    Issue (Month): 2 (October)
    Pages: 270-296

    as in new window
    Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:270-296

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 12(3), pages 245-257, June.
    2. Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies 01-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. 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.
    4. 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.
    5. 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.
    6. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 13(3), pages 303-304, December.
    7. Anna Rita Bacinello, 2003. "Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option," Journal of Risk & Insurance, The American Risk and Insurance Association, The American Risk and Insurance Association, vol. 70(3), pages 461-487.
    8. 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.
    9. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 31(1), pages 71-85, August.
    10. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 7(3), pages 229-263, September.
    11. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 46(3), pages 437-442, June.
    2. Costabile, Massimo & Massabó, Ivar & Russo, Emilio, 2008. "A binomial model for valuing equity-linked policies embedding surrender options," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(3), pages 873-886, June.
    3. Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    4. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(3), pages 795-801.
    5. Eling, Martin & Kochanski, Michael, 2012. "Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?," Working Papers on Finance, University of St. Gallen, School of Finance 1224, University of St. Gallen, School of Finance.
    6. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print, HAL hal-00502851, HAL.
    7. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Christian Hilpert & Jing Li & Alexander Szimayer, 2011. "The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees," Bonn Econ Discussion Papers, University of Bonn, Germany bgse11_2011, University of Bonn, Germany.
    9. Costabile, Massimo & Gaudenzi, Marcellino & Massabò, Ivar & Zanette, Antonino, 2009. "Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 45(2), pages 286-295, October.
    10. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 338, Quantitative Finance Research Centre, University of Technology, Sydney.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:270-296. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.