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The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements

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  • Ballotta, Laura
  • Esposito, Giorgia
  • Haberman, Steven

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  • Ballotta, Laura & Esposito, Giorgia & Haberman, Steven, 2006. "The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 356-375, December.
  • Handle: RePEc:eee:insuma:v:39:y:2006:i:3:p:356-375
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    References listed on IDEAS

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    1. Ballotta, Laura, 2005. "A Lévy process-based framework for the fair valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 173-196, October.
    2. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. " Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
    3. 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.
    4. Gerry Dickinson & Patrick M. Liedtke, 2004. "Impact of a Fair Value Financial Reporting System on Insurance Companies: A Survey," The Geneva Papers on Risk and Insurance, The International Association for the Study of Insurance Economics, vol. 29(3), pages 540-581, July.
    5. 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.
    6. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    7. Gerry Dickinson & Patrick M. Liedtke, 2004. "Impact of a Fair Value Financial Reporting System on Insurance Companies: A Survey," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 29(3), pages 540-581, July.
    8. Laura Ballotta & Steven Haberman & Nan Wang, 2006. "Guarantees in With-Profit and Unitized With-Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(1), pages 97-121.
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    Cited by:

    1. Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 839-849, April.
    2. Kojima Koji & Okura Mahito, 2008. "Effort Allocation of Insurance Agent under Asymmetric Information: An Analytical Approach," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-20, March.
    3. Bernard Carole & Le Courtois Olivier, 2012. "Asset Risk Management of Participating Contracts," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 6(2), pages 1-23, June.

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