The valuation of unit-linked policies with or without surrender options

DOI10.1016/j.insmatheco.2004.10.002zbMath1110.91016OpenAlexW2022590815MaRDI QIDQ2483949

Weixi Shen, Huiping Xu

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.10.002

zbMATH Keywords

Free boundarySurrenderUnit-linked policy

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35)

Related Items

Minimum return guarantees, investment caps, and investment flexibility ⋮ Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options ⋮ A Comparison Between Different Numerical Schemes for the Valuation of Unit-Linked Contracts Embedding a Surrender Option ⋮ Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics ⋮ A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions ⋮ Regression-based algorithms for life insurance contracts with surrender guarantees ⋮ Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Pricing variable annuity with surrender guarantee ⋮ Pricing life insurance contracts with early exercise features ⋮ Valuation of guaranteed unitized participating life insurance under MEGB2 distribution

Cites Work

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