Asset and liability management for insurance products with minimum guarantees: The UK case
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 30 (2006)
Issue (Month): 2 (February)
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Web page: http://www.elsevier.com/locate/jbf
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.:
- 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.
- Peter L›chte J›rgensen & Anders Grosen, . "Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies," Management Working Papers 1999-1, School of Economics and Management, University of Aarhus.
- Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "The Value of Integrative Risk Management for Insurance Products with Guarantees," Center for Financial Institutions Working Papers 01-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
- 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.
- 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.
- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Eling, Martin & Gatzert, Nadine & Schmeiser, Hato, 2009. "Minimum standards for investment performance: A new perspective on non-life insurer solvency," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 113-122, August.
- Diana Barro & Elio Canestrelli, 2008. "Tracking error with minimum guarantee constraints," Working Papers 172, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Ferstl, Robert & Weissensteiner, Alex, 2009.
"Asset-Liability Management under time-varying Investment Opportunities,"
15068, University Library of Munich, Germany.
- Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
- Johanna Scheller & Jacques Pézier, 2008. "Optimal Investment Strategies and Performance Sharing Rules for Pension Schemes with Minimum Guarantee," ICMA Centre Discussion Papers in Finance icma-dp2008-09, Henley Business School, Reading University, revised Oct 2009.
- Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
- Døskeland, Trond M. & Nordahl, Helge A., 2008. "Optimal pension insurance design," Journal of Banking & Finance, Elsevier, vol. 32(3), pages 382-392, March.
- 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, revised 21 Jun 2007.
- 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, revised 21 Jun 2007.
- Diana Barro & Elio Canestrelli, 2012. "Downside risk in multiperiod tracking error models," Working Papers 2012_17, Department of Economics, University of Venice "Ca' Foscari".
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