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Risk comparison of different bonus distribution approaches in participating life insurance
16 references·0 citing·28 second hopsampled
Risk comparison of different bonus distribution approaches in participating life insurance (2011)Risk comparison of different bonus distri…Analysis of Participating Life Insurance Contracts: A Unification Approach (2007)Analysis of Participating Lif…A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)A general asset–liability man…The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The interaction of guarantees…Risk-neutral valuation of participating life insurance contracts (2006)Risk-neutral valuation of par…Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)Guarantees in With‐Profit and…Fair valuation of participating policies with surrender options and regime switching (2005)Fair valuation of participati…A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)A Lévy process-based framewor…Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Guaranteed Investment Contrac…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…Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guaran…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…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies (1994)Interest Rate Risk Management…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)An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)Theory of rational option pricing (2005)An equilibrium characterization of the term structure (1977)Martingales and stochastic integrals in the theory of continuous trading (1981)Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2005)Theory of Rational Option Pricing (1973)Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Actuarial mathematics for life contingent risks (2010)Actuarial Mathematics for Life Contingent Risks (2019)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Excess of loss reinsurance under joint survival optimality (2006)The cost of capital, corporation finance and the theory of investment (2008)Stochastic Differential Equations (2003)Pricing Annuity Guarantees Under a Regime-Switching Model (2009)An optimal stochastic control framework for determining the cost of hedging of variable annuities (2014)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)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)Research on lapse in life insurance: what has been done and what needs to be done? (2013)The Effects of a Low Interest Rate Environment on Life Insurers (2015)
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References

  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 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
  • 1994Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies111 cited
  • 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return111 cited
  • 2002Minimum Rate of Return Guarantees: The Danish Case101 cited
  • 2005Fair valuation of participating policies with surrender options and regime switching100 cited
  • 2006Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option96 cited
  • 2006Risk-neutral valuation of participating life insurance contracts88 cited
  • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited
  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 cited
  • 2004A Lévy process-based framework for the fair valuation of participating life insurance contracts79 cited

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2003
Fair valuation of path-dependent participating life insurance contracts
79 cited
  • 2007Analysis of Participating Life Insurance Contracts: A Unification Approach70 cited
  • 2007A general asset–liability management model for the efficient simulation of portfolios of life insurance policies68 cited
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