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Risk comparison of different bonus distribution approaches in participating life insurance · Study

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ArticleRisk comparison of different bonus distribution approaches in participating life insurance

Alexandra Zemp2011

Article2011

Risk comparison of different bonus distribution approaches in participating life insurance

16 citations·0/0 files stored·Insurance Mathematics and Economics

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

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References

2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls 2003Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed 1994Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return 2002Minimum Rate of Return Guarantees: The Danish Case 2005Fair valuation of participating policies with surrender options and regime switching

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2007A general asset–liability management model for the efficient simulation of portfolios of life insurance policiesarticle · 11 shared references 2007Fair valuation of insurance contracts under Lévy process specificationsarticle · 10 shared references 2019Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfoliosarticle · 9 shared references 2011A joint valuation of premium payment and surrender options in participating life insurance contractsarticle · 9 shared references 2006The effect of management discretion on hedging and fair valuation of participating policies with maturity guaranteesarticle · 8 shared references 2009Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurancearticle · 8 shared references

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Year2011

Typearticle

Published2011-05-03

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2011.04.006

openalex_workW2051220802

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