The IASB insurance project for life insurance contracts: Impact on reserving methods and solvency requirements

DOI10.1016/J.INSMATHECO.2006.04.004zbMath1151.91561OpenAlexW2126384031MaRDI QIDQ860507

Giorgia Esposito, Laura Ballotta, Steven Haberman

Publication date: 9 January 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/5813/1/iasbgio.pdf

zbMATH Keywords

Lévy processesshortfall probabilityfair valueparticipating contractsBlack--Scholes option pricing formulamathematical reservessolvency requirements

Mathematics Subject Classification ID

Related Items (5)

Risk aggregation in non-life insurance: standard models vs. internal models ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ Protection of a Company Issuing a Certain Class of Participating Policies in a Complete Market Framework ⋮ Pricing and capital requirements for with profit contracts: modelling considerations ⋮ The impact of longevity and investment risk on a portfolio of life insurance liabilities

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• On accounting standards and fair valuation of life insurance and pension liabilities
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

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