The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees

DOI10.1016/J.INSMATHECO.2006.07.005zbMath1183.91072OpenAlexW2134757950MaRDI QIDQ882468

Mark Willder, Torsten Kleinow

Publication date: 23 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.07.005

zbMATH Keywords

hedgingmaturity guaranteesbinomial tree modelfair valuesmanagement discretionparticipating policy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (10)

The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Modeling partial Greeks of variable annuities with dependence ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ VALUATION OF CONTINGENT GUARANTEES USING LEAST-SQUARES MONTE CARLO ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement ⋮ Valuation and hedging of participating life-insurance policies under management discretion ⋮ Performance measurement of pension strategies: a case study of Danish life cycle products ⋮ Performance measurement of pension strategies: a case study of Danish life-cycle products

Cites Work

• Risk-neutral valuation of participating life insurance contracts
• Fair valuation of path-dependent participating life insurance contracts.
• 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
• Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
• A Lévy process-based framework for the fair valuation of participating life insurance contracts
• Minimum Rate of Return Guarantees: The Danish Case
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
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