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The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
16 references·4 citing·30 second hop
The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees (2006)The effect of management discretion on he…Risk-neutral valuation of participating life insurance contracts (2006)Risk-neutral valuation of par…Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims (2005)Return smoothing mechanisms i…A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)A Lévy process-based framewor…Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insur…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…Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guaran…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…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…Pricing rate of return guarantees in a Heath–Jarrow–Morton framework (1999)Pricing rate of return guaran…Risk-Neutral Valuation (1998)Risk-Neutral ValuationOn the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Prices in Financial Markets. (1992)Prices in Financial Markets.Prices in Financial Markets. (1991)Prices in Financial Markets.The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Modeling Partial Greeks of Variable Annuities with Dependence (2016)Modeling Partial Greeks of Va…Risk comparison of different bonus distribution approaches in participating life insurance (2011)Risk comparison of different …Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management (2010)Applications of time-delayed …Valuation and hedging of participating life-insurance policies under management discretion (2008)Valuation and hedging of part…An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)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)The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)The Effects of a Low Interest Rate Environment on Life Insurers (2015)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Options, Futures and Other Derivatives (2003)Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Research on lapse in life insurance: what has been done and what needs to be done? (2013)Fair valuation of participating policies with surrender options and regime switching (2005)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)An Engine, Not a Camera (2006)Valuing Equity-Indexed Annuities (2000)Arbitrage Theory in Continuous Time (2004)A Selective Overview of Nonparametric Methods in Financial Econometrics (2005)
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References

  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 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
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 cited
  • 1998Risk-Neutral Valuation158 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return111 cited
  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
  • 2002Minimum Rate of Return Guarantees: The Danish Case101 cited
  • 2006Risk-neutral valuation of participating life insurance contracts88 cited
  • 2004A Lévy process-based framework for the fair valuation of participating life insurance contracts79 cited
  • 2003Fair valuation of path-dependent participating life insurance contracts79 cited
  • 2005Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims73 cited
  • 1991Prices in Financial Markets.

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70 cited
  • 1999Pricing rate of return guarantees in a Heath–Jarrow–Morton framework64 cited
  • 1992Prices in Financial Markets.63 cited
  • Cited by

    • 2010Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management20 cited
    • 2008Valuation and hedging of participating life-insurance policies under management discretion18 cited
    • 2011Risk comparison of different bonus distribution approaches in participating life insurance16 cited
    • 2016Modeling Partial Greeks of Variable Annuities with Dependence15 cited