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Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts
11 references·0 citing·36 second hop
Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2005)Modelling and Valuation of Guarantees in …Valuation of guaranteed annuity conversion options (2003)Valuation of guaranteed annui…Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guaran…Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Life Insurance Liabilities at…Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001)A Finite Difference Approach …Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…Pricing rate of return guarantees in a Heath–Jarrow–Morton framework (1999)Pricing rate of return guaran…Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products (1997)Valuation of the Minimum Guar…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications (1994)Life Insurance in a Contingen…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)Fair valuation of insurance contracts under Lévy process specifications (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Pricing and hedging guaranteed annuity options via static option replication (2003)Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2007)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Theory of rational option pricing (2005)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)The fair value of guaranteed annuity options (2005)Pricing Annuity Guarantees Under a Regime-Switching Model (2009)Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009)Fair valuation of path-dependent participating life insurance contracts (2003)Research on lapse in life insurance: what has been done and what needs to be done? (2013)“Options, Futures, and Other Derivatives” (2016)Option pricing: A simplified approach (1979)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Options, Futures and Other Derivatives (2003)Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Fair valuation of participating policies with surrender options and regime switching (2005)Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)Regulation of Insurance Markets (1999)Market value of life insurance contracts under stochastic interest rates and default risk (2005)Default risk, bankruptcy procedures and the market value of life insurance liabilities (2006)An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)Asset Insulators (2020)
this work references cited by second hop

References

  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 2002Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework217 cited
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 1994Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications145 cited
  • 2003Valuation of guaranteed annuity conversion options108 cited
  • 2002Minimum Rate of Return Guarantees: The Danish Case101 cited
  • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited
  • 1999Pricing rate of return guarantees in a Heath–Jarrow–Morton framework64 cited
  • 1997Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products57 cited

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