Valuation of the interest rate guarantee embedded in defined contribution pension plans
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Publication:931175
DOI10.1016/J.INSMATHECO.2007.10.012zbMath1141.91554OpenAlexW2006934232MaRDI QIDQ931175
Chun-Hua Tang, Sharon S. Yang, Meng-Lan Yueh
Publication date: 25 June 2008
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.012
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Cites Work
- Pricing rate of return guarantees in regular premium unit linked insurance
- Reserving for maturity guarantees: Two approaches
- 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
- A cohort-based extension to the Lee-Carter model for mortality reduction factors
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Minimum Rate of Return Guarantees: The Danish Case
- Mathematical foundation of convexity correction
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