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A joint valuation of premium payment and surrender options in participating life insurance contracts
16 references·0 citing·39 second hop
A joint valuation of premium payment and surrender options in participating life insurance contracts (2011)A joint valuation of premium payment and …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, futures and other derivatives (2008)Options, futures and other de…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insur…Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Fair Valuation of a Guarantee…Life Tables for the United States Social Security Area 1900-2100 (2002)Life Tables for the United St…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…A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model (2000)A simple approach to the pric…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies (1994)Interest Rate Risk Management…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Price Regulation in Property‐…Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…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)Theory of Rational Option Pricing (1973)Multigrid for American option pricing with stochastic volatility (1999)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Brownian Motion and Stochastic Calculus (2007)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Option Pricing With V. G. Martingale Components1 (1991)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Theory of rational option pricing (2005)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Rectangularization revisited: Variability of age at death within human populations* (1999)Taxing Capital? Not a Bad Idea After All! (2007)Death and development (2008)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2008Options, futures and other derivatives646 cited
  • 2002Life Tables for the United States Social Security Area 1900-2100445 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 1986Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach234 cited
  • 2003Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option177 cited
  • 2000A simple approach to the pricing of Bermudan swaptions in the multifactor LIBOR market model156 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited

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1994
Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies
111 cited
  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
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