ON SURRENDER AND DEFAULT RISKS
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Publication:4906517
DOI10.1111/j.1467-9965.2011.00487.xzbMath1282.91156OpenAlexW1878347647MaRDI QIDQ4906517
Olivier Le Courtois, Hidetoshi Nakagawa
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00487.x
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Related Items (7)
Fourier based methods for the management of complex life insurance products ⋮ Reduced-form framework for multiple ordered default times under model uncertainty ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Surrender contagion in life insurance
Cites Work
- Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
- Market value of life insurance contracts under stochastic interest rates and default risk
- Theory of constant proportion portfolio insurance
- A note on the inhomogeneous linear stochastic differential equation.
- Fair valuation of path-dependent participating life insurance contracts.
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Portfolio Optimization and Performance Analysis
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Credit risk: Modelling, valuation and hedging
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