On accounting standards and fair valuation of life insurance and pension liabilities
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Publication:5467666
DOI10.1080/03461230410000556zbMath1087.62117OpenAlexW2012133124MaRDI QIDQ5467666
Publication date: 24 May 2006
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230410000556
Related Items (16)
Accounting and actuarial smoothing of retirement payouts in participating life annuities ⋮ The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements ⋮ On risk charges and shadow account options in pension funds ⋮ Valuation of longevity-linked life annuities ⋮ Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims ⋮ The fair valuation problem of guaranteed annuity options: the stochastic mortality environment case ⋮ Default risk, bankruptcy procedures and the market value of life insurance liabilities ⋮ 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 ⋮ On the regulator-insurer interaction in a structural model ⋮ A two-account model of pension saving contracts ⋮ Lapse rate modeling: a rational expectation approach ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ Optimal Portfolio Choice in Retirement With Participating Life Annuities ⋮ A market-consistent framework for the fair evaluation of insurance contracts under Solvency II ⋮ Surplus-linked life insurance
Cites Work
- The Pricing of Options and Corporate Liabilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Intervention options in life insurance
- Mortality derivatives and the option to annuitise.
- Valuation of guaranteed annuity conversion options.
- Fair valuation of path-dependent participating life insurance contracts.
- Pricing and hedging guaranteed annuity options via static option replication.
- Equity-linked life insurance: A model with stochastic interest rates
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Guaranteed Annuity Options
- Valuation of Participating Life Insurance Liabilities
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Hedging Equity-Linked Life Insurance Contracts
- A no arbitrage approach to Thiele's differential equation
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