Risk-neutral valuation of participating life insurance contracts

By Daniel Bauer, Rüdiger Kiesel, Alexander Kling, Jochen Russ. 2006

100 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/4a2c70d84bf18d88180cba5a8369080fb0c1d427

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Citations in the corpus

Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches (2011, background): “Here, following Bauer et al. (2006), we distinguish between the socalled MUST-case, explained in this section (i.e. the case of an insurer distributing just enough profit to satisfy legal requirements) and the so-called IS-case, explained in the next section that tries to model observed behaviour of”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “…given stock, beyond the control of the insurer, and assume that bonuses and guarantees are contingent on the performance of that stock; see for example Bacinello (2001), Bauer et al. (2005), Dai et al. (2008), Huang et al. (2009), Milevsky and Posner (2001) and Milevsky and Salisbury (2006).”
On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012, methodology): “For more details on the contract model we refer to Bauer et al. (2006).”
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2008, methodology): “The remainder of the paper is organized as follows: In Sections 2 and 3 we briefly introduce the model and valuation methodology from Bauer et al. (2006), respectively.”
Mortality-Indexed Annuities Managing Longevity Risk Via Product Design (2011, methodology): “See Kling et al. (2007) for a thorough analysis of the effects of different regimes of surplus distributionon on the risk exposure, where special emphasis is placed on interest rate guarantees.”