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Anders Grosen

Personal Details

First Name:Anders
Middle Name:
Last Name:Grosen
Suffix:
RePEc Short-ID:pgr393

Affiliation

(in no particular order)

School of Economics and Management
Institut for Økonomi (Department of Economics and Business)
Aarhus Universitet (University of Aarhus)

Aarhus, Denmark
http://www.econ.au.dk/

+45 8942 1133
+45 8613 6334
Building 1322, DK-8000 Aarhus C
RePEc:edi:anaaudk (more details at EDIRC)

Institut for Økonomi (Department of Economics and Business)
Aarhus Universitet (University of Aarhus)

Aarhus, Denmark
http://www.au.dk/om/organisation/institutter/departmentofeconomicsandbusiness/




RePEc:edi:ifoaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. 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.
  2. Grosen, Anders & Løchte Jørgensen, Peter, 2001. "Life Insurance Liabilities at Market Value," Finance Working Papers 01-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.

Articles

  1. Grosen, Anders & J Rgensen, Peter L Chte, 2002. "The bonus-crediting mechanism of Danish pension and life insurance companies: an empirical analysis," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(03), pages 249-268, November.
  2. 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.
  3. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. 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.

    Cited by:

    1. Nadine Gatzert & Gudrun Hoermann & Hato Schmeiser, 2009. "The Impact of the Secondary Market on Life Insurers' Surrender Profits," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 887-908.
    2. Andreas Reuß & Jochen Ruß & Jochen Wieland, 2016. "Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
    3. Ninna Reitzel Jensen & Kristian Juul Schomacker, 2015. "A Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk," Risks, MDPI, Open Access Journal, vol. 3(2), pages 1-36, June.
    4. Hainaut, Donatien, 2010. "Optimal design of profit sharing rates by FFT," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 470-478, June.
    5. Kling, Alexander & Richter, Andreas & Ruß, Jochen, 2006. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Discussion Papers in Business Administration 1220, University of Munich, Munich School of Management.
    6. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing, vol. 14(4), pages 392-413, August.
    7. 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.
    8. Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.
    9. Bernard, Carole & Le Courtois, Olivier & Quittard-Pinon, Francois, 2005. "Market value of life insurance contracts under stochastic interest rates and default risk," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 499-516, June.
    10. Kling, Alexander & Richter, Andreas & Ru[ss], Jochen, 2007. "The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 164-178, January.
    11. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
    12. 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.
    13. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    14. 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.
    15. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 580-596.
    16. Goecke, Oskar, 2013. "Pension saving schemes with return smoothing mechanism," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 678-689.
    17. Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen, 2006. "Risk-neutral valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 171-183, October.
    18. Feodoria, Mark & Förstemann, Till, 2015. "Lethal lapses: How a positive interest rate shock might stress German life insurers," Discussion Papers 12/2015, Deutsche Bundesbank.
    19. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
    20. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
    21. Gerstner, Thomas & Griebel, Michael & Holtz, Markus, 2009. "Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 434-446, June.
    22. Iwaki, Hideki & Yumae, Shoji, 2004. "An efficient frontier for participating policies in a continuous-time economy," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 611-625, December.

  2. Grosen, Anders & Løchte Jørgensen, Peter, 2001. "Life Insurance Liabilities at Market Value," Finance Working Papers 01-4, University of Aarhus, Aarhus School of Business, Department of Business Studies.

    Cited by:

    1. Andreas Reuß & Jochen Ruß & Jochen Wieland, 2016. "Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
    2. Kling, Alexander & Richter, Andreas & Ruß, Jochen, 2006. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Discussion Papers in Business Administration 1220, University of Munich, Munich School of Management.
    3. Dirk Broeders & An Chen & David Rijsbergen, 2013. "Valuation of liabilities in hybrid pension plans," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1215-1229, August.
    4. Pelsser, Antoon, 2003. "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October.
    5. Butler Richard J, 2017. "Econometrics Illustrated, with Applications from Insurance-Research Awards," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 11(2), pages 1-21, July.
    6. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
    7. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
    8. Eling, Martin & Holder, Stefan, 2012. "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance 1221, University of St. Gallen, School of Finance.
    9. Thomas Poufinas, 2015. "On the pricing of regular premium variable annuities using options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 54-77.
    10. Thomas Poufinas, 2011. "On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(3), pages 180-194.
    11. Zeljko Sain & Jasmina Selimovic, 2009. "Challenges in Insurance Industry," Interdisciplinary Management Research, Josip Juraj Strossmayer University of Osijek, Faculty of Economics, Croatia, vol. 5, pages 471-479.
    12. Alexander Bohnert, 2015. "The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-28, November.
    13. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    14. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    15. Dirk Broeders & An Chen & Birgit Koos, 2014. "Utility-equivalence of pension security mechanisms," DNB Working Papers 414, Netherlands Central Bank, Research Department.
    16. An Chen & Xia Su, 2009. "Knightian uncertainty and insurance regulation decision," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(1), pages 13-33, May.
    17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

Articles

  1. Grosen, Anders & J Rgensen, Peter L Chte, 2002. "The bonus-crediting mechanism of Danish pension and life insurance companies: an empirical analysis," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(03), pages 249-268, November.

    Cited by:

    1. Vittas, Dimitri, 2011. "The mechanics and regulation of variable payout annuities," Policy Research Working Paper Series 5762, The World Bank.
    2. Jørgensen, Peter Løchte, 2006. "Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs," Finance Research Group Working Papers F-2006-09, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. 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.

  2. 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.
    See citations under working paper version above.
  3. 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.

    Cited by:

    1. Maurer, Raimond & Mitchell, Olivia S. & Rogalla, Ralph & Siegelin, Ivonne, 2016. "Accounting and actuarial smoothing of retirement payouts in participating life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 268-283.
    2. Consiglio, Andrea & Saunders, David & Zenios, Stavros A., 2006. "Asset and liability management for insurance products with minimum guarantees: The UK case," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 645-667, February.
    3. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
    4. Nadine Gatzert & Gudrun Hoermann & Hato Schmeiser, 2009. "The Impact of the Secondary Market on Life Insurers' Surrender Profits," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(4), pages 887-908.
    5. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
    6. Andreas Reuß & Jochen Ruß & Jochen Wieland, 2016. "Participating Life Insurance Products with Alternative Guarantees: Reconciling Policyholders’ and Insurers’ Interests," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-18, May.
    7. Eckert, Johanna & Gatzert, Nadine & Martin, Michael, 2016. "Valuation and risk assessment of participating life insurance in the presence of credit risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 382-393.
    8. Ninna Reitzel Jensen & Kristian Juul Schomacker, 2015. "A Two-Account Life Insurance Model for Scenario-Based Valuation Including Event Risk," Risks, MDPI, Open Access Journal, vol. 3(2), pages 1-36, June.
    9. Shen, Weixi & Xu, Huiping, 2005. "The valuation of unit-linked policies with or without surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 79-92, February.
    10. Consiglio, Andrea & De Giovanni, Domenico, 2007. "Pricing the Option to Surrender in Incomplete Markets," Finance Research Group Working Papers F-2007-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    11. Berdin, Elia, 2016. "Interest rate risk, longevity risk and the solvency of life insurers," ICIR Working Paper Series 23/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    12. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December.
    13. Jan Natolski & Ralf Werner, 2017. "Mathematical Analysis of Replication by Cash Flow Matching," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-15, February.
    14. Vittas, Dimitri, 2011. "The mechanics and regulation of variable payout annuities," Policy Research Working Paper Series 5762, The World Bank.
    15. Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
    16. Elia Berdin & Helmut Gründl, 2015. "The Effects of a Low Interest Rate Environment on Life Insurers," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 40(3), pages 385-415, July.
    17. Hainaut, Donatien, 2010. "Optimal design of profit sharing rates by FFT," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 470-478, June.
    18. Bohnert, Alexander & Born, Patricia & Gatzert, Nadine, 2014. "Dynamic hybrid products in life insurance: Assessing the policyholders’ viewpoint," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 87-99.
    19. Bernard, Carole & MacKay, Anne & Muehlbeyer, Max, 2014. "Optimal surrender policy for variable annuity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 116-128.
    20. Thomas Url, 2014. "Advantages of Risk Coverage in Classical Life Insurance," WIFO Studies, WIFO, number 60603, November.
    21. Kang, Boda & Ziveyi, Jonathan, 2018. "Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 43-56.
    22. 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.
    23. Kling, Alexander & Richter, Andreas & Ruß, Jochen, 2006. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Discussion Papers in Business Administration 1220, University of Munich, Munich School of Management.
    24. Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," SAFE Working Paper Series 137, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    25. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
    26. Jarner, Søren Fiig & Kronborg, Morten Tolver, 2016. "Entrance times of random walks: With applications to pension fund modeling," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 1-20.
    27. Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 419-433, February.
    28. S. Sbaraglia & M. Papi & M. Briani & M. Bernaschi & F. Gozzi, 2003. "A Model For The Optimal Asset-Liability Management For Insurance Companies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 277-299.
    29. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing, vol. 14(4), pages 392-413, August.
    30. Mao, Hong & Ostaszewski, Krzysztof M., 2008. "Pricing equity-linked life insurance contracts with minimum interest rate guarantee in partial equilibrium framework," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 4(2), pages 27-52.
    31. Faust, Roger & Schmeiser, Hato & Zemp, Alexandra, 2012. "A performance analysis of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 158-171.
    32. 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.
    33. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015. "Main Determinants of Profit Sharing Policy in the French Life Insurance Industry," Working Papers halshs-01165475, HAL.
    34. Jaime Casassus & Eduardo Walker, 2013. "Adjusted Money's Worth Ratios in Life Annuities," Documentos de Trabajo 434, Instituto de Economia. Pontificia Universidad Católica de Chile..
    35. 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.
    36. Døskeland, Trond M. & Nordahl, Helge A., 2006. "Intergenerational Effects of Guaranteed Pension Contracts," Discussion Papers 2006/13, Norwegian School of Economics, Department of Business and Management Science, revised 21 Jun 2007.
    37. 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.
    38. Pelsser, Antoon, 2003. "Pricing and hedging guaranteed annuity options via static option replication," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 283-296, October.
    39. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
    40. Jensen, Bjarne Astrup & Sørensen, Carsten, 2000. "Paying for minimum interest rate guarantees: Who should compensate who?," Working Papers 2000-1, Copenhagen Business School, Department of Finance.
    41. Døskeland, Trond M. & Nordahl, Helge A., 2006. "Optimal Pension Insurance Design," Discussion Papers 2006/14, Norwegian School of Economics, Department of Business and Management Science, revised 21 Jun 2007.
    42. Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.
    43. Steffensen, Mogens, 2002. "Intervention options in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 71-85, August.
    44. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
    45. Eling, Martin & Holder, Stefan, 2012. "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance 1221, University of St. Gallen, School of Finance.
    46. Kling, Alexander & Richter, Andreas & Ru[ss], Jochen, 2007. "The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 164-178, January.
    47. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
    48. Thomas Poufinas, 2015. "On the pricing of regular premium variable annuities using options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 4(1), pages 54-77.
    49. Thomas Poufinas, 2011. "On the pricing of single premium variable annuities with periodic fees and periodic cost of insurance using option pricing techniques," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(3), pages 180-194.
    50. 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.
    51. Fabrice Borel-Mathurin & Pierre-Emmanuel Darpeix & Quentin Guibert & Stéphane Loisel, 2015. "Main Determinants of Profit Sharing Policy in the French Life Insurance Industry," PSE Working Papers halshs-01165475, HAL.
    52. Graf, Stefan & Kling, Alexander & Ruß, Jochen, 2011. "Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 115-125, July.
    53. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    54. Plat, Richard & Pelsser, Antoon, 2009. "Analytical approximations for prices of swap rate dependent embedded options in insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 124-134, February.
    55. Eling, Martin & Holder, Stefan, 2013. "The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 491-503.
    56. 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.
    57. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 580-596.
    58. Pelizzon, Loriana & Sottocornola, Matteo, 2018. "The impact of monetary policy iInterventions on the insurance industry," SAFE Working Paper Series 204, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
    59. Loriana Pelizzon & Matteo Sottocornola, 2016. "The Impact of the Monetary Policy Interventions on the Insurance Industry," EIOPA Financial Stability Report - Thematic Articles 8, EIOPA, Risks and Financial Stability Department.
    60. Alexander Bohnert, 2015. "The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature," Risks, MDPI, Open Access Journal, vol. 3(4), pages 1-28, November.
    61. Goecke, Oskar, 2013. "Pension saving schemes with return smoothing mechanism," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 678-689.
    62. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    63. Luca Anzilli & Luigi De Cesare, 2007. "Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework," Quaderni DSEMS 20-2007, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    64. Catherine Donnelly, 2017. "A Discussion of a Risk-Sharing Pension Plan," Risks, MDPI, Open Access Journal, vol. 5(1), pages 1-20, February.
    65. Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen, 2006. "Risk-neutral valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 171-183, October.
    66. 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.
    67. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
    68. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
    69. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    70. Nadine Gatzert & Hato Schmeiser, 2008. "Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 691-712.
    71. Yang, Sharon S. & Yueh, Meng-Lan & Tang, Chun-Hua, 2008. "Valuation of the interest rate guarantee embedded in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 920-934, June.
    72. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
    73. Tsai, Chenghsien & Kuo, Weiyu & Chen, Wei-Kuang, 2002. "Early surrender and the distribution of policy reserves," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 429-445, December.
    74. Chen, An & Hentschel, Felix & Klein, Jakob K., 2015. "A utility- and CPT-based comparison of life insurance contracts with guarantees," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 327-339.
    75. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
    76. David Prieul & Vladislav Putyatin & Tarek Nassar, 2001. "On pricing and reserving with-profits life insurance contracts," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(3), pages 145-166.
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