Valuation of life insurance products under stochastic interest rates

DOI10.1016/j.insmatheco.2007.02.009zbMath1141.91510OpenAlexW2085884683MaRDI QIDQ939351

Patrice Gaillardetz

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.02.009

Mathematics Subject Classification ID

Related Items (2)

Pricing equity-indexed annuities under stochastic interest rates using copulas ⋮ A linear algebraic method for pricing temporary life annuities and insurance policies

Cites Work

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• Affine processes for dynamic mortality and actuarial valuations
• Mortality derivatives and the option to annuitise.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• The fair value of guaranteed annuity options
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
• Introductory Stochastic Analysis for Finance and Insurance

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