Risk measure and fair valuation of an investment guarantee in life insurance

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Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2008, methodology): “However, these articles consider point-to-point guarantees rather than cliquet style guarantees (see, e.g., Barbarin and Devolder (2005), Bernard et al. (2005), Briys and de Varenne (1997), or Nielsen and Sandmann (1995)), or do not allow for the consideration of typical distribution schemes or…”
Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches (2011, methodology): “The financial approach is concerned with risk-neutral valuation and fair pricing and has been researched by various authors such as Bryis and de Varenne (1997), Grosen and Jørgensen (2000), Grosen and Jørgensen (2002) or Bauer et al. (2006). Note that the concept of risk-neutral valuation is based o”