The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
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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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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