The fair surrender value of a tontine
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References listed on IDEAS
- Nordahl, Helge A., 2008. "Valuation of life insurance surrender and exchange options," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 909-919, June.
- Filip Uzelac & Alexander Szimayer, 2014. "Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model," Quantitative Finance, Taylor & Francis Journals, vol. 14(2), pages 357-368, February.
- Cannon, Edmund & Tonks, Ian, 2008. "Annuity Markets," OUP Catalogue, Oxford University Press, number 9780199216994.
- Milevsky, Moshe A. & Salisbury, Thomas S., 2015. "Optimal retirement income tontines," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 91-105.
- Weinert, Jan-Hendrik & Gründl, Helmut, 2016. "The modern tontine: An innovative instrument for longevity risk management in an aging society," ICIR Working Paper Series 22/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- 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.
- 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.
- 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.
More about this item
KeywordsLife Insurance; Tontines; Annuities; Life Insurance Surrender;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
- H55 - Public Economics - - National Government Expenditures and Related Policies - - - Social Security and Public Pensions
- H75 - Public Economics - - State and Local Government; Intergovernmental Relations - - - State and Local Government: Health, Education, and Welfare
- I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private
- J14 - Labor and Demographic Economics - - Demographic Economics - - - Economics of the Elderly; Economics of the Handicapped; Non-Labor Market Discrimination
- J32 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Nonwage Labor Costs and Benefits; Retirement Plans; Private Pensions
- N23 - Economic History - - Financial Markets and Institutions - - - Europe: Pre-1913
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGE-2017-08-20 (Economics of Ageing)
- NEP-ALL-2017-08-20 (All new papers)
- NEP-IAS-2017-08-20 (Insurance Economics)
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