A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio

DOI10.1007/S13385-020-00225-2zbMath1483.91190OpenAlexW3016983310MaRDI QIDQ825289

Jonas Eckert, Alexander Kling, Stefan Graf

Publication date: 17 December 2021

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

Full work available at URL: https://doi.org/10.1007/s13385-020-00225-2

zbMATH Keywords

life insurancerisk-neutral valuationheterogeneous portfoliointeraction of contractsparticipating contracts

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

Cross-subsidizing effects between existing and new policyholders in traditional life insurance

Cites Work

• The Pricing of Options and Corporate Liabilities
• Risk-neutral valuation of participating life insurance contracts
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches
• Valuation and risk assessment of participating life insurance in the presence of credit risk
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• An equilibrium characterization of the term structure
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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