Risk-neutral valuation of participating life insurance contracts
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- 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.
- Bjarke Jensen & Peter L�chte J�rgensen & Anders Grosen, 2001. "A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 26(1), pages 57-84, June.
- 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.
- 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.
- 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.
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