Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option

By Anna Rita Bacinello. 2003

194 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/438fd9baff0351ef44ec68e0732afde309e82ce3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Economics and Econometrics

In Finance

Citations in the corpus

Lapse rate modeling: a rational expectation approach (2008, unknown): “Examples of this piece of literature are Grosen & Jørgensen (1997, 2000), Steffensen (2002) and Bacinello (2003, 2005), to mention just a few.”
Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “…issues connected with participating policies, is rather abundant (see, for instance, Wilkie 1987; Briys and de Varenne 1994, 1997; Norberg 1999, 2001; Grosen and Jørgensen 2000, 2002; Bacinello 2001; Consiglio, Cocco, and Zenios 2001a, b; Hansen and Miltersen 2002; and Miltersen and Persson 2000).”
The Impact of Stochastic Volatility on Pricing, Hedging, and Hedge Efficiency of Withdrawal Benefit Guarantees in Variable Annuities (2011, background): “…on the pricing of guarantees embedded in insurance contracts has been analyzed by several authors, e.g. by Grosen and Jørgensen (2000), Steffens n (2002) and Bacinello (2003, 2005) and with focus on the optimal stopping time within the context of GMWB guarantees for example by Chen et al. (2008).”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “Bacinello (2003)adopted discrete-time binomial models for computing the numerical solutions of the fair valuation problem of participating policies.”
Risk-neutral valuation of participating life insurance contracts (2006, methodology): “In Bacinello (2001) and Bacinello (2003), also cliquet-style guarantees are considered.”
Regression-based algorithms for life insurance contracts with surrender guarantees (2010, unknown): “In the first group of papers, for example, Bacinello ( 2003a , b ) considers participating policies, while Vannucci ( 2003 ) and Bacinello ( 2005 ) consider equity-linked contracts embedding a surrender option (see section 3.”