Evaluation of participating endowment life insurance policies in a stochastic environment

DOI10.1007/S13385-023-00373-1zbMATH Open1546.91223MaRDI QIDQ6593141

Ramin Eghbalzadeh, Patrice Gaillardetz, Frédéric Godin

Publication date: 26 August 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

zbMATH Keywords

participating life insurancestochastic on stochasticshadow reserve

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Actuarial mathematics (91G05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A joint valuation of premium payment and surrender options in participating life insurance contracts
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Risk-neutral valuation of participating life insurance contracts
• Market value of life insurance contracts under stochastic interest rates and default risk
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
• Fair valuation of path-dependent participating life insurance contracts.
• Equity-linked life insurance: A model with stochastic interest rates
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Pricing inflation-linked variable annuities under stochastic interest rates
• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• Pricing of Ratchet equity-indexed annuities under stochastic interest rates
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Minimum Rate of Return Guarantees: The Danish Case
• Pricing Annuity Guarantees Under a Regime-Switching Model
• Life insurance surrender and liquidity risks
• A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

This page was built for publication: Evaluation of participating endowment life insurance policies in a stochastic environment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6593141)