Fair valuation of insurance contracts under Lévy process specifications
From MaRDI portal
Publication:939383
DOI10.1016/J.INSMATHECO.2007.04.007zbMath1141.91519OpenAlexW2092266927MaRDI QIDQ939383
Rüdiger Kiesel, Stefan Kassberger, Thomas Liebmann
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.2007.04.007
embedded optionsmodel riskrisk-neutral valuationinterest rate guaranteesparticipating contractsunit-linked contracts
Related Items (11)
The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ Cliquet option pricing in a jump-diffusion Lévy model ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching ⋮ On the estimation of regime-switching Lévy models ⋮ Valuing the profit share in participating pure-endowment policies with return of premiums ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Pricing and capital requirements for with profit contracts: modelling considerations ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk
Cites Work
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Market value of life insurance contracts under stochastic interest rates and default risk
- Fair valuation of path-dependent participating life insurance contracts.
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Pricing of Unit-linked Life Insurance Policies
- Minimum Rate of Return Guarantees: The Danish Case
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- Financial Modelling with Jump Processes
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
This page was built for publication: Fair valuation of insurance contracts under Lévy process specifications
