The valuation of unit-linked policies with or without surrender options
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References listed on IDEAS
- 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.
- David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Shimko, David C., 1992. "The Valuation of Multiple Claim Insurance Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(02), pages 229-246, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Yang, Sharon S. & Dai, Tian-Shyr, 2013. "A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 231-242.
- Shen, Yang & Sherris, Michael & Ziveyi, Jonathan, 2016. "Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 127-137.
- 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.
- 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.
- Kolkiewicz, A. W. & Tan, K. S., 2006. "Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors," Annals of Actuarial Science, Cambridge University Press, vol. 1(01), pages 49-78, March.
- Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
- Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
- Antje Mahayni & Judith C. Schneider, 2016. "Minimum return guarantees, investment caps, and investment flexibility," Review of Derivatives Research, Springer, vol. 19(2), pages 85-111, July.
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