Pricing and capital requirements for with profit contracts: modelling considerations

DOI10.1080/14697680802452068zbMath1180.91160OpenAlexW3121221827MaRDI QIDQ3650962

Laura Ballotta

Publication date: 7 December 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5816/1/wp6_2007.pdf

zbMATH Keywords

Lévy processesMonte Carlo methodsincomplete marketsparticipating contractssolvency requirementsFair valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)

Related Items (5)

Pricing participating policies under the Meixner process and stochastic volatility ⋮ Fourier based methods for the management of complex life insurance products ⋮ Hybrid Lévy Models: Design and Computational Aspects ⋮ Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk

Uses Software

• Cephes

Cites Work

• The Pricing of Options and Corporate Liabilities
• The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements
• Fair valuation of insurance contracts under Lévy process specifications
• Monte Carlo methods for security pricing
• The cumulant process and Esscher's change of measure
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Option Pricing With V. G. Martingale Components¹
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• The Variance Gamma Process and Option Pricing
• Option pricing when underlying stock returns are discontinuous
• Esscher transforms and the minimal entropy martingale measure for exponential Lévy models

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