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The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees

Listed author(s):
  • Kleinow, Torsten
  • Willder, Mark
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    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(06)00099-0
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 40 (2007)
    Issue (Month): 3 (May)
    Pages: 445-458

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    Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:445-458
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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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. 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.
    3. Hibbert, A.J. & Turnbull, C.J., 2003. "Measuring and Managing the Economic Risks and Costs of With-Profits Business," British Actuarial Journal, Cambridge University Press, vol. 9(04), pages 725-777, October.
    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. Dothan, Michael U., 1990. "Prices in Financial Markets," OUP Catalogue, Oxford University Press, number 9780195053128.
    7. Knut Aase & Svein-Arne Persson, 1996. "Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products," Center for Financial Institutions Working Papers 96-20, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Guillen, Montserrat & Jorgensen, Peter Lochte & Nielsen, Jens Perch, 2006. "Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 229-252, April.
    9. 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.
    10. Hibbert, A. J. & Turnbull, C. J., 2003. "Measuring and Managing the Economic Risks and Costs of With-Profits Business," British Actuarial Journal, Cambridge University Press, vol. 9(05), pages 1141-1154, December.
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