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

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  • Kleinow, Torsten
  • Willder, Mark

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  • Kleinow, Torsten & Willder, Mark, 2007. "The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 445-458, May.
  • Handle: RePEc:eee:insuma:v:40:y:2007:i:3:p:445-458
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    References listed on IDEAS

    as
    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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    Cited by:

    1. Zemp, Alexandra, 2011. "Risk comparison of different bonus distribution approaches in participating life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 249-264, September.
    2. 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.
    3. Bohnert, Alexander & Gatzert, Nadine, 2012. "Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 64-78.
    4. repec:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9131-9 is not listed on IDEAS
    5. Frédéric Sart, 2016. "On the hedging of liabilities with an endogenous profit sharing mechanism," Post-Print hal-01574949, HAL.
    6. Lukasz Delong, 2010. "Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management," Papers 1005.4417, arXiv.org, revised Jan 2011.
    7. Bohnert, Alexander & Gatzert, Nadine & Jørgensen, Peter Løchte, 2015. "On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 83-97.
    8. repec:eee:insuma:v:76:y:2017:i:c:p:118-134 is not listed on IDEAS

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