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Fair valuation of path-dependent participating life insurance contracts
7 references·11 citing·38 second hop
Fair valuation of path-dependent participating life insurance contracts (2003)Fair valuation of path-dependent particip…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…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities (2015)Revisiting the Risk-Neutral A…Research on lapse in life insurance: what has been done and what needs to be done? (2013)Research on lapse in life ins…On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation…Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2007)Risk-neutral valuation of par…Fair valuation of insurance contracts under Lévy process specifications (2007)Fair valuation of insurance c…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…Market value of life insurance contracts under stochastic interest rates and default risk (2005)Market value of life insuranc…Endogenous model of surrender conditions in equity-linked life insurance (2005)Endogenous model of surrender…On accounting standards and fair valuation of life insurance and pension liabilities (2004)On accounting standards and f…A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)A Lévy process-based framewor…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 Behavior of Stock-Market Prices (1965)Theory of Rational Option Pricing (1973)Modeling high-frequency financial data by pure jump processes (2012)Testing for pure-jump processes for high-frequency data (2015)Martingales and stochastic integrals in the theory of continuous trading (1981)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Financial distress and corporate risk management: Theory and evidence (2008)Numerical solution of stochastic differential equations (2016)An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)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)Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Bank Runs, Deposit Insurance, and Liquidity (1983)Effects of Relationship Marketing on Satisfaction, Retention, and Prices in the Life Insurance Industry (1987)Satisfaction, Repurchase Intent, and Repurchase Behavior: Investigating the Moderating Effect of Customer Characteristics (2001)“Options, Futures, and Other Derivatives” (2016)Option pricing: A simplified approach (1979)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997Martingale Methods in Financial Modelling1,085 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited

Cited by

  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 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
  • 2015Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities65 cited
  • 2005Market value of life insurance contracts under stochastic interest rates and default risk65 cited
  • 2005

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Endogenous model of surrender conditions in equity-linked life insurance
64 cited
  • 2007Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment57 cited
  • 2004On accounting standards and fair valuation of life insurance and pension liabilities53 cited
  • 2010On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View42 cited
  • 2007Fair valuation of insurance contracts under Lévy process specifications32 cited