Risk-neutral valuation of participating life insurance contracts
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Volume (Year): 39 (2006)
Issue (Month): 2 (October)
Pages: 171-183
| Handle: | RePEc:eee:insuma:v:39:y:2006:i:2:p:171-183 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/inca/505554
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References listed on IDEAS
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- 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.
- 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.
- 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.
- 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.
- 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.
- Bacinello, Anna Rita, 2001. "Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 31(02), pages 275-297, November. Full references (including those not matched with items on IDEAS)
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