Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
From MaRDI portal
Publication:2296606
DOI10.1155/2019/9439786zbMath1453.91088OpenAlexW2914632888WikidataQ128441714 ScholiaQ128441714MaRDI QIDQ2296606
Haitao Zheng, Zhengjun Zhang, Junzhang Hao, Manying Bai
Publication date: 18 February 2020
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2019/9439786
Cites Work
- A generalized beta copula with applications in modeling multivariate long-tailed data
- Optimal surrender policy for variable annuity guarantees
- Pricing synthetic CDO with MGB2 distribution
- How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
- A locally risk-minimizing hedging strategy for unit-linked life insurance contracts in a Lévy process financial market
- Pricing participating products under a generalized jump-diffusion model
- Intervention options in life insurance
- Valuation of guaranteed unitized participating life insurance under GEV distribution
- Studies on a double Poisson-geometric insurance risk model with interference
- On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- The valuation of unit-linked policies with or without surrender options
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Empirical properties of asset returns: stylized facts and statistical issues
- Authors’ Reply: Pricing Annuity Guarantees Under a Regime-Switching Model - Discussion by Robert J. Elliott and Tak Kuen Siu
- Valuation of Participating Life Insurance Liabilities
- An Actuarial Analysis of Participating Life Insurance
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Valuing Equity-Indexed Annuities
- Extreme Value Theory as a Risk Management Tool
- Risk-minimizing hedging strategies for insurance payment processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Valuation of guaranteed unitized participating life insurance under MEGB2 distribution