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Analysis of Participating Life Insurance Contracts: A Unification Approach
12 references·7 citing·39 second hop
Analysis of Participating Life Insurance Contracts: A Unification Approach (2007)Analysis of Participating Life Insurance …Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…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-Neutral Valuation: Pricing and Hedging of Financial Derivatives (2001)Risk-Neutral Valuation: Prici…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Reserving for maturity guarantees: Two approaches (1997)Reserving for maturity guaran…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Numerical solution of SDE through computer experiments (1994)Numerical solution of SDE thr…Downside risk (1991)Downside riskMean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)Nonconcave Optimal Investment…Optimal investment strategies for participating contracts (2017)Optimal investment strategies…Market‐consistent embedded value in non‐life insurance: how to measure it and why (2012)Market‐consistent embedded va…Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2012)Applications of time-delayed …Risk comparison of different bonus distribution approaches in participating life insurance (2011)Risk comparison of different …Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches (2011)Risk analysis and valuation o…Fair valuation of insurance contracts under Lévy process specifications (2007)Fair valuation of insurance c…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Portfolio Performance Manipulation and Manipulation-proof Performance Measures (2007)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)Option pricing: A simplified approach (1979)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)An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Theory of rational option pricing (2005)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)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008)Fluctuations of Lévy Processes with Applications (2014)On solving elliptic stochastic partial differential equations (2002)Equivalent linearization and Monte Carlo simulation in stochastic dynamics (2003)Construction of Equivalent Stochastic Differential Equation Models (2008)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)
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References

  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns1,215 cited
  • 2004Arbitrage Theory in Continuous Time944 cited
  • 1991Downside risk604 cited
  • 1994Numerical solution of SDE through computer experiments426 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
  • 2001Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives208 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
  • 1997Reserving for maturity guarantees: Two approaches139 cited

Cited by

  • 2011Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches43 cited
  • 2007Fair valuation of insurance contracts under Lévy process specifications32 cited

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  • 2017Optimal investment strategies for participating contracts30 cited
  • 2012Market‐consistent embedded value in non‐life insurance: how to measure it and why28 cited
  • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited
  • 2012Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance20 cited
  • 2011Risk comparison of different bonus distribution approaches in participating life insurance16 cited