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Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
16 references·15 citing·26 second hop
Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insurance Partici…Modern Actuarial Theory and Practice (2020)Modern Actuarial Theory and P…Scandinavian Actuarial Journal (2008)Scandinavian Actuarial JournalTheory of rational option pricing (2005)Theory of rational option pri…Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Fair Valuation of a Guarantee…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…Risk-minimizing hedging strategies for insurance payment processes (2001)Risk-minimizing hedging strat…Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Actuarial Mathematics (1986)Actuarial MathematicsOption pricing: A simplified approach (1979)Option pricing: A simplified …Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES (2021)APPLYING ECONOMIC MEASURES TO…Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (2018)Optimal surrender of guarante…Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options (2015)Valuation of Guaranteed Minim…Optimal surrender policy for variable annuity guarantees (2014)Optimal surrender policy for …The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees (2013)The effect of policyholders’ …Research on lapse in life insurance: what has been done and what needs to be done? (2013)Research on lapse in life ins…Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Application of Data Clusterin…Regression-based algorithms for life insurance contracts with surrender guarantees (2009)Regression-based algorithms f…Pricing Life Insurance Contracts with Early Exercise Features (2008)Pricing Life Insurance Contra…The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model (2007)The Discounted Joint Distribu…A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)A general asset–liability man…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…Risk measure and fair valuation of an investment guarantee in life insurance (2005)Risk measure and fair valuati…Endogenous model of surrender conditions in equity-linked life insurance (2005)Endogenous model of surrender…A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)A Lévy process-based framewor…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Random Character of Stock Market Prices (1968)The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)Financial valuation of guaranteed minimum withdrawal benefits (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Martingales and arbitrage in multiperiod securities markets (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)Options, Futures and Other Derivatives (2003)Fair valuation of participating policies with surrender options and regime switching (2005)Self-Annuitization and Ruin in Retirement (2000)Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004)The Private Market for Long‐Term Care Insurance in the United States: A Review of the Evidence (2009)Non-Life Insurance Pricing with Generalized Linear Models (2010)Hedging Inventory Risk Through Market Instruments (2005)Option pricing and Esscher transform under regime switching (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (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)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 2008Scandinavian Actuarial Journal261 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 2002Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework217 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 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
  • 1986Actuarial Mathematics152 cited
  • 2020Modern Actuarial Theory and Practice

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138 cited
  • 2001Risk-minimizing hedging strategies for insurance payment processes120 cited
  • Cited by

    • 2013Application of Data Clustering and Machine Learning in Variable Annuity Valuation99 cited
    • 2006Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option96 cited
    • 2013Research on lapse in life insurance: what has been done and what needs to be done?80 cited
    • 2004A Lévy process-based framework for the fair valuation of participating life insurance contracts79 cited
    • 2007A general asset–liability management model for the efficient simulation of portfolios of life insurance policies68 cited
    • 2005Endogenous model of surrender conditions in equity-linked life insurance64 cited
    • 2009Regression-based algorithms for life insurance contracts with surrender guarantees64 cited
    • 2008Pricing Life Insurance Contracts with Early Exercise Features56 cited
    • 2014Optimal surrender policy for variable annuity guarantees50 cited
    • 2005Risk measure and fair valuation of an investment guarantee in life insurance46 cited
    • 2007The Discounted Joint Distribution of the Surplus Prior to Ruin and the Deficit at Ruin in a Sparre Andersen Model42 cited
    • 2013The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees27 cited
    • 2018Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates27 cited
    • 2015Valuation of Guaranteed Minimum Maturity Benefits in Variable Annuities with Surrender Options26 cited
    • 2021APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES19 cited