Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework

DOI10.1080/10920277.2010.10597581zbMath1219.91065OpenAlexW3123160911MaRDI QIDQ3088970

François Quittard-Pinon, Olivier Le Courtois, Carole Bernard

Publication date: 23 August 2011

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597581

Mathematics Subject Classification ID

Related Items (2)

Optimal investment strategies for participating contracts ⋮ Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts

Cites Work

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• The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
• Market value of life insurance contracts under stochastic interest rates and default risk
• Optimal portfolio management with American capital guarantee
• Theory of constant proportion portfolio insurance
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Pricing Dynamic Investment Fund Protection
• From actuarial to financial valuation principles

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