Minimum Rate of Return Guarantees: The Danish Case
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Publication:4455899
DOI10.1080/03461230110106282zbMath1039.91040OpenAlexW1977417264MaRDI QIDQ4455899
Mette Gerster Hansen, Kristian R. Miltersen
Publication date: 16 March 2004
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230110106282
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Related Items (27)
Risk-neutral valuation of participating life insurance contracts ⋮ The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies ⋮ The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Cross-subsidizing effects between existing and new policyholders in traditional life insurance ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ Allowance for surplus funds under Solvency II: adequate reflection of risk sharing between policyholders and shareholders in a risk-based solvency framework? ⋮ Pricing of multi-period rate of return guarantees. ⋮ A performance analysis of participating life insurance contracts ⋮ A joint valuation of premium payment and surrender options in participating life insurance contracts ⋮ Valuation of life insurance surrender and exchange options ⋮ Valuation of the interest rate guarantee embedded in defined contribution pension plans ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ Fair valuation of insurance contracts under Lévy process specifications ⋮ Asset and liability modelling for participating policies with guarantees ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ The value of interest rate guarantees in participating life insurance contracts: status quo and alternative product design ⋮ A general asset-liability management model for the efficient simulation of portfolios of life insurance policies ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ A two-account model of pension saving contracts ⋮ Guaranteed Investment Contracts: Distributed and Undistributed Excess Return ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy ⋮ MODERN LIFE-CARE TONTINES ⋮ Surplus-linked life insurance
Cites Work
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A stochastic calculus model of continuous trading: Complete markets
- A theory of bonus life insurance
- An equilibrium characterization of the term structure
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
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