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Intervention options in life insurance

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  • Steffensen, Mogens

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  • Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
  • Handle: RePEc:eee:insuma:v:31:y:2002:i:1:p:71-85
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    References listed on IDEAS

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    1. 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, pages 37-57.
    2. 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.
    3. Eric Briys & François De Varenne, 1994. "Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 19(1), pages 53-72, June.
    4. Yuri Kifer, 2000. "Game options," Finance and Stochastics, Springer, vol. 4(4), pages 443-463.
    5. H rdle, Wolfgang & Huet, Sylvie & Mammen, Enno & Sperlich, Stefan, 2004. "Bootstrap Inference In Semiparametric Generalized Additive Models," Econometric Theory, Cambridge University Press, pages 265-300.
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    Cited by:

    1. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing, vol. 14(4), pages 392-413, August.
    2. Buchardt, Kristian, 2014. "Dependent interest and transition rates in life insurance," Insurance: Mathematics and Economics, Elsevier, pages 167-179.
    3. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957.
    4. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, pages 580-596.
    5. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
    6. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
    7. 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.
    8. Kristian Buchardt & Thomas Møller, 2015. "Life Insurance Cash Flows with Policyholder Behavior," Risks, MDPI, Open Access Journal, vol. 3(3), pages 1-28, July.

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