On pricing and reserving with-profits life insurance contracts

DOI10.1080/13504860110111279zbMath1026.91060OpenAlexW2071316092MaRDI QIDQ4551193

David Prieul, Tarek Nassar, Vladislav Putyatin

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110111279

zbMATH Keywords

life insurancedynamic hedgingoptions with-profits

Mathematics Subject Classification ID

Related Items (8)

Pricing participating policies under the Meixner process and stochastic volatility ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ On valuing participating life insurance contracts with conditional heteroscedasticity ⋮ Pricing participating products under a generalized jump-diffusion model ⋮ Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach ⋮ Analytical approximations for prices of swap rate dependent embedded options in insurance products ⋮ PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES ⋮ Fair valuation of participating policies with surrender options and regime switching

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Reserving for maturity guarantees: Two approaches
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Optimal hedging of options with small but arbitrary transaction cost structure

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