Risk-neutral valuation of participating life insurance contracts
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 39 (2006)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
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.:
- 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, vol. 70(3), pages 461-487.
- 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.
- Bjarke Jensen & Peter L�chte J�rgensen & Anders Grosen, 2001.
"A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities,"
The Geneva Risk and Insurance Review,
Palgrave Macmillan, vol. 26(1), pages 57-84, June.
- Bjarke Jensen & Peter Løchte Jørgensen & Anders Grosen, . "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," Management Working Papers 1999-11, School of Economics and Management, University of Aarhus.
- Grosen, Anders & Jensen, Bjarke & Løchte Jørgensen, Peter, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," Finance Working Papers 01-5, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Richter, Andreas & Weber, Frederik, 2009. "Mortality-Indexed Annuities," Discussion Papers in Business Administration 10994, University of Munich, Munich School of Management.
- Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 839-849, April.
- 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.
- 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.
- Kochanski, Michael, 2010. "Solvency capital requirement for German unit-linked insurance products," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 6(2), pages 33-70.
- Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
- Eling, Martin & Holder, Stefan, 2012. "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance 1221, University of St. Gallen, School of Finance.
- Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
- Kling, Alexander & Richter, Andreas & Ruß, Jochen, 2006. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Discussion Papers in Business Administration 1220, University of Munich, Munich School of Management.
- 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 1224, University of St. Gallen, School of Finance.
- 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.
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