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Endogenous model of surrender conditions in equity-linked life insurance

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  • Bacinello, Anna Rita

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  • 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.
  • Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:270-296
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    References listed on IDEAS

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    1. Bjarke Jensen & Peter Løchte Jørgensen & Anders Grosen, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 26(1), pages 57-84, June.
    2. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 245-257, June.
    3. 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.
    4. 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.
    5. Tanskanen, Antti Juho & Lukkarinen, Jani, 2003. "Fair valuation of path-dependent participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 33(3), pages 595-609, December.
    6. 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.
    7. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
    8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    9. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
    10. Bacinello, Anna Rita & Ortu, Fulvio, 1993. "Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum," Insurance: Mathematics and Economics, Elsevier, vol. 13(3), pages 303-304, December.
    11. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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    Cited by:

    1. Nadine Gatzert & Gudrun Hoermann & Hato Schmeiser, 2009. "The Impact of the Secondary Market on Life Insurers' Surrender Profits," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 887-908.
    2. Costabile, Massimo & Gaudenzi, Marcellino & Massabò, Ivar & Zanette, Antonino, 2009. "Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 286-295, October.
    3. 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.
    4. Weinert, Jan-Hendrik, 2017. "The fair surrender value of a tontine," ICIR Working Paper Series 26/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    5. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-36, November.
    6. Thomas Poufinas, 2015. "On the pricing of regular premium variable annuities using options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 54-77.
    7. Costabile, Massimo & Massabó, Ivar & Russo, Emilio, 2008. "A binomial model for valuing equity-linked policies embedding surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 873-886, June.
    8. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    9. Cody B. Hyndman & Menachem Wenger, 2014. "GMWB Riders in a Binomial Framework - Pricing, Hedging, and Diversification of Mortality Risk," Papers 1410.7453, arXiv.org, revised Jul 2016.
    10. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 580-596.
    11. Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01727669, HAL.
    12. repec:eee:insuma:v:78:y:2018:i:c:p:30-43 is not listed on IDEAS
    13. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. 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.
    15. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
    16. Nadine Gatzert & Hato Schmeiser, 2008. "Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 691-712.
    17. Xavier Milhaud & Marie-Pierre Gonon & Stéphane Loisel, 2010. "Les comportements de rachat en Assurance Vie en régime de croisière et en période de crise," Post-Print hal-00502851, HAL.
    18. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
    19. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.

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