The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees
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Publication:2879031
DOI10.1080/14697688.2013.825922zbMath1294.91079OpenAlexW3125413083MaRDI QIDQ2879031
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/71895
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Related Items (7)
Stress scenario generation for solvency and risk management ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Optimal surrender policy for variable annuity guarantees ⋮ Time-consistent and market-consistent actuarial valuation of the participating pension contract ⋮ Surrender contagion in life insurance
Cites Work
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- Intensity-based framework and penalty formulation of optimal stopping problems
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- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Endogenous model of surrender conditions in equity-linked life insurance
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Lapse rate modeling: a rational expectation approach
- Stochastic mortality under measure changes
- Numerical Methods and Volatility Models for Valuing Cliquet Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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