Valuation and hedging of participating life-insurance policies under management discretion

DOI10.1016/j.insmatheco.2008.10.003zbMath1156.91397OpenAlexW1981526320MaRDI QIDQ1003820

Torsten Kleinow

Publication date: 4 March 2009

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.10.003

zbMATH Keywords

hedgingrisk-neutral valuationparticipating life insurance policyprofit-sharingwith-profits contract

Mathematics Subject Classification ID

Related Items

Intergenerational sharing of unhedgeable inflation risk, Risk comparison of different bonus distribution approaches in participating life insurance, VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO, On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes, Unhedgeable inflation risk within pension schemes, Time-consistent and market-consistent actuarial valuation of the participating pension contract

Cites Work

• Risk-neutral valuation of participating life insurance contracts
• The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
• Pricing and hedging guaranteed annuity options via static option replication.
• Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
• Asset and liability modelling for participating policies with guarantees
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return