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Fair valuation of path-dependent participating life insurance contracts · Study

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ArticleFair valuation of path-dependent participating life insurance contracts

Antti Juho Tanskanen2003

Article2003

Fair valuation of path-dependent participating life insurance contracts

Antti Juho Tanskanen · Jani Lukkarinen

79 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

1973The Pricing of Options and Corporate Liabilities 1998Methods of Mathematical Finance 1998Arbitrage Theory in Continuous Time 1997Martingale Methods in Financial Modelling 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

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2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies 2013Research on lapse in life insurance: what has been done and what needs to be done?2004A Lévy process-based framework for the fair valuation of participating life insurance contracts 2005Market value of life insurance contracts under stochastic interest rates and default risk 2015Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities 2005Endogenous model of surrender conditions in equity-linked life insurance

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Year2003

Typearticle

Published2003-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations79

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.insmatheco.2003.08.003

openalex_workW2111674672

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2007Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

2004On accounting standards and fair valuation of life insurance and pension liabilities