A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
From MaRDI portal
Publication:998287
DOI10.1016/j.insmatheco.2007.07.007zbMath1152.91581OpenAlexW1994952071MaRDI QIDQ998287
Marcus Haep, Markus Holtz, Michael Griebel, Thomas Gerstner, Ralf Goschnick
Publication date: 28 January 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.07.007
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (12)
ESTIMATION OF FUTURE DISCRETIONARY BENEFITS IN TRADITIONAL LIFE INSURANCE ⋮ Valuation and risk assessment of participating life insurance in the presence of credit risk ⋮ A robust asset-liability management framework for investment products with guarantees ⋮ Interest rate model comparisons for participating products under Solvency II ⋮ Analyzing surplus appropriation schemes in participating life insurance from the insurer's and the policyholder's perspective ⋮ Long-term stability of a life insurer's balance sheet ⋮ Risk comparison of different bonus distribution approaches in participating life insurance ⋮ Mean-Variance Asset Liability Management with State-Dependent Risk Aversion ⋮ A synthetic model for asset-liability management in life insurance, and analysis of the SCR with the standard formula ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance ⋮ The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
Cites Work
- Unnamed Item
- Unnamed Item
- Fair valuation of participating policies with surrender options and regime switching
- The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies
- Higher-order implicit strong numerical schemes for stochastic differential equations
- Numerical integration using sparse grids
- 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
- Endogenous model of surrender conditions in equity-linked life insurance
- A Theory of the Term Structure of Interest Rates
- Minimum Rate of Return Guarantees: The Danish Case
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- On accounting standards and fair valuation of life insurance and pension liabilities
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
- Market Based Tools for Managing the Life Insurance Company
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
- Interest rate models -- theory and practice
This page was built for publication: A general asset-liability management model for the efficient simulation of portfolios of life insurance policies
