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Risk measure and fair valuation of an investment guarantee in life insurance

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  • Barbarin, Jerome
  • Devolder, Pierre
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4G94HHX-1/2/4ba0865cecaa787af6969c8e408867de
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    Bibliographic Info

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

    Volume (Year): 37 (2005)
    Issue (Month): 2 (October)
    Pages: 297-323

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    Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:297-323

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

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    References

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    1. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
    2. 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, vol. 26(1), pages 37-57, February.
    3. 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, vol. 3(3), pages 195-213, June.
    4. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    5. Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
    6. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
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    Cited by:
    1. Zemp, Alexandra, 2011. "Risk comparison of different bonus distribution approaches in participating life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 249-264, September.
    2. Graf, Stefan & Kling, Alexander & Ruß, Jochen, 2011. "Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 115-125, July.
    3. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
    4. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12945, Universidad Carlos III de Madrid.
    5. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa.
    6. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
    7. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "Minimizing measures of risk by saddle point conditions," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12974, Universidad Carlos III de Madrid.
    8. Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.

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