A joint valuation of premium payment and surrender options in participating life insurance contracts
From MaRDI portal
Publication:654843
DOI10.1016/J.INSMATHECO.2011.08.004zbMath1228.91048OpenAlexW2139863239WikidataQ59241750 ScholiaQ59241750MaRDI QIDQ654843
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://www.alexandria.unisg.ch/146681/1/Binder_AFIR-WP77_online.pdf
Monte Carlo methodembedded optionsoptimal stopping problemparticipating life insurance contractspaid-up and resumptionsurrender
Related Items (8)
Nonparametric Estimation of Net Premium Functionals for Different Statuses in Collective Life Insurance ⋮ Life insurance surrender and liquidity risks ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Policyholder Exercise Behavior in Life Insurance: The State of Affairs ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ Pension saving schemes with return smoothing mechanism ⋮ Optimal Portfolio Choice in Retirement With Participating Life Annuities ⋮ Surrender contagion in life insurance
Cites Work
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- Zur Bewertung von Optionen und Garantien bei Lebensversicherungen
- Valuation of Participating Life Insurance Liabilities
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- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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