Fair valuation of path-dependent participating life insurance contracts

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Endogenous model of surrender conditions in equity-linked life insurance (2005, background): “The only papers of which we are aware are those byAlbizzati and Geman (1994), Grosen and Jørgensen (1997, 2000), Jensen et al. (2001), Steffensen (2002), Bacinello (2003a,b), Tanskanen and Lukkarinen (2003), andVannucci (2003a,b).”
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2008, methodology): “By choosing γ = 0 we obtain the Vasic̆ek (1977) model, and for γ = 1 2 the Cox et al.”
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities (2008, methodology): “Tanskanen and Lukkarinen (2004) present a valuation approach for participating life insurance contracts including a surrender option, which is based on discretization via a finite mesh.”
On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010, methodology): “In [45], the classical Black-Scholes model and a deterministic evolution of mortality are assumed.”