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The Impact of the Secondary Market on Life Insurers’ Surrender Profits
16 references·0 citing·38 second hop
The Impact of the Secondary Market on Life Insurers’ Surrender Profits (2009)The Impact of the Secondary Market on Lif…Modeling Surrender and Lapse Rates With Economic Variables (2005)Modeling Surrender and Lapse …Endogenous model of surrender conditions in equity-linked life insurance (2005)Endogenous model of surrender…The Benefits of a Secondary Market for Life Insurance Policies (2003)The Benefits of a Secondary M…Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insur…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Fair valuation of path-dependent participating life insurance contracts (2003)Fair valuation of path-depend…Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Fair Valuation of a Guarantee…An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)An Empirical Study on the Lap…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…Valuation of Early Exercisable Interest Rate Guarantees (1997)Valuation of Early Exercisabl…Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies (1994)Interest Rate Risk Management…Whole-life insurance lapse rates and the emergency fund hypothesis (1990)Whole-life insurance lapse ra…Actuarial Mathematics (1990)Actuarial MathematicsThe impact of heterogeneity in individual frailty on the dynamics of mortality (1979)The impact of heterogeneity i…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)072103 (E50, M20) Option pricing by Esscher transforms (1995)Theory of rational option pricing (2005)Theory of Rational Option Pricing (1973)Actuarial mathematics for life contingent risks (2010)Actuarial Mathematics for Life Contingent Risks (2019)The study of persistence. (1962)The Estimation of Simultaneous Equation Models with Lagged Endogenous Variables and First Order Serially Correlated Errors (1970)Inflation, Rational Expectations and the Term Structure of Interest Rates (1973)A Dynamic Analysis of the Demand for Life Insurance (2012)What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market (2013)A random-walk model of human mortality and aging (1977)Costs, Risks, and Benefits of Surgery. (1978)Improving life expectancy: an uphill road ahead. (1978)Understanding Relationships Using Copulas (1998)Broken Limits to Life Expectancy (2002)Biodemography of human ageing (2010)An equilibrium characterization of the term structure (1977)Fair valuation of participating policies with surrender options and regime switching (2005)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Critical Values for Cointegration Tests (2010)Main Determinants of Lapse in the German Life Insurance Industry (2012)Option pricing: A simplified approach (1979)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)“Options, Futures, and Other Derivatives” (2016)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Research on lapse in life insurance: what has been done and what needs to be done? (2013)On the Time Value of Ruin (1998)The Simple Analytics of a Pooled Annuity Fund (2005)The Time Value of Ruin in a Sparre Andersen Model (2005)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,829 cited
  • 1979The impact of heterogeneity in individual frailty on the dynamics of mortality2,576 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 1990Actuarial Mathematics241 cited
  • 2003Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option177 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2003An Empirical Study on the Lapse Rate: The Cointegration Approach142 cited
  • 1994Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies111 cited
  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
  • 1990Whole-life insurance lapse rates and the emergency fund hypothesis99 cited
  • 2005Modeling Surrender and Lapse Rates With Economic Variables98 cited
  • 1997Valuation of Early Exercisable Interest Rate Guarantees95 cited
  • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited
  • 2003Fair valuation of path-dependent participating life insurance contracts79 cited

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  • 2005Endogenous model of surrender conditions in equity-linked life insurance64 cited
  • 2003The Benefits of a Secondary Market for Life Insurance Policies55 cited
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