Default risk, bankruptcy procedures and the market value of life insurance liabilities

DOI10.1016/J.INSMATHECO.2006.04.005zbMath1141.91494OpenAlexW2119847373MaRDI QIDQ995500

An Chen, Michael Suchanecki

Publication date: 3 September 2007

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

Full work available at URL: http://hdl.handle.net/10419/22953

zbMATH Keywords

contingent claims pricingdefault riskbankruptcy proceduresequity-linked life insuranceliquidation riskparisian options

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (19)

Parisian exchange options ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ OPTIMAL ASSET ALLOCATION IN LIFE INSURANCE: THE IMPACT OF REGULATION ⋮ Early default risk and surrender risk: impacts on participating life insurance policies ⋮ Optimal dividends and bankruptcy procedures: Analysis of the Ornstein-Uhlenbeck process ⋮ Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty ⋮ Risk management of deposit insurance corporations with risk-based premiums and credit default swaps ⋮ Loss analysis of a life insurance company applying discrete-time risk-minimizing hedging strategies ⋮ Pricing American-style Parisian down-and-out call options ⋮ A CLOSED-FORM EXTENSION TO THE BLACK-COX MODEL ⋮ The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance ⋮ Fair Valuation of Equity-Linked Policies under Insurer Default Risk ⋮ Double-sided Parisian option pricing ⋮ A utility-based comparison of pension funds and life insurance companies under regulatory constraints ⋮ On the regulator-insurer interaction in a structural model ⋮ Knightian uncertainty and insurance regulation decision ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ The impact of longevity and investment risk on a portfolio of life insurance liabilities ⋮ Liquidation risk in insurance under contemporary regulatory frameworks

Cites Work

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• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD
• THE FEYNMAN–KAC FORMULA AND PRICING OCCUPATION TIME DERIVATIVES
• Brownian Excursions and Parisian Barrier Options
• On accounting standards and fair valuation of life insurance and pension liabilities
• Computational Science - ICCS 2004

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