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The pricing of equity-linked life insurance policies with an asset value guarantee

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Author Info
Brennan, Michael J.
Schwartz, Eduardo S.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 3 (1976)
Issue (Month): 3 (June)
Pages: 195-213
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Handle: RePEc:eee:jfinec:v:3:y:1976:i:3:p:195-213

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  1. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  2. Robert Shiller, 1988. "Portfolio Insurance and Other Investor Fashions as Factors in the 1987 Stock Market Crash," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 287-297 National Bureau of Economic Research, Inc. [Downloadable!]
  3. Antoon Pelsser, 2002. "Pricing and Hedging Guaranteed Annuity Options via Static Option Replication," Tinbergen Institute Discussion Papers 02-037/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Roland Gillet & Robert Goffin & Isabelle Nagot & Ariane Szafarz, 2006. "Stratégies d'investissement en actions et fonds à capital garanti," Working Papers CEB 06-008.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    Other versions:
  5. Masahiko Egami & Hideki Iwaki, 2007. "An optimal life insurance policy in the investment-consumption problem in an incomplete market," Quantitative Finance Papers 0801.0195, arXiv.org. [Downloadable!]
  6. Merton, Robert C., 1997. "Applications of Option-Pricing Theory: Twenty-Five Years Later," Nobel Prize in Economics documents 1997-1, Nobel Prize Committee. [Downloadable!]
  7. 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. [Downloadable!]
  8. Andrea Consiglio & Flavio Cocco & Stavros A. Zenios, 2001. "Asset and Liability Modeling for Participating Policies with Guarantees," Center for Financial Institutions Working Papers 00-41, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  9. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer, vol. 14(3), pages 255-275, September. [Downloadable!] (restricted)
  10. Nikita Ratanov, 2005. "Quantil Hedging for telegraph markets and its applications to a pricing of equity-linked life insurance contracts," BORRADORES DE INVESTIGACIÓN 003410, UNIVERSIDAD DEL ROSARIO - FACULTAD DE ECONOMÍA. [Downloadable!]
  11. 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. [Downloadable!]
  12. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers 06-43, Bank of Canada. [Downloadable!]
    Other versions:
  13. Nikita Ratanov & Alexander Melnikov, 2007. "On Financial Markets Based on Telegraph Processes," Quantitative Finance Papers 0712.3428, arXiv.org. [Downloadable!]
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