Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies
By Anders Grosen, P. L. Jørgensen. 2000
443 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/b7a1d03cfd496471be61913f65328c7dd5e27732
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Demography
- Daniel Bauer
- Laura Ballotta
- Anna Rita Bacinello
- Rüdiger Kiesel
- Jochen Russ
- Alexander Kling
- Katharina Zaglauer
- Steven Haberman
In Economics and Econometrics
- Daniel Bauer
- Laura Ballotta
- Anna Rita Bacinello
- Rüdiger Kiesel
- Jochen Russ
- Alexander Kling
- Katharina Zaglauer
- Steven Haberman
In Finance
- Daniel Bauer
- Anna Rita Bacinello
- Laura Ballotta
- Rüdiger Kiesel
- Jochen Russ
- Alexander Kling
- Katharina Zaglauer
- Steven Haberman
Citations in the corpus
- Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “We recall, for instance, Wilkie (1987), Briys and de Varenne (1994, 1997), Norberg (1999, 2001), Grosen and Jørgensen (2000, 2002), Bacinello (2001a), Consiglio, Cocco and Zenios (2001a, 2001b), Hansen and Miltersen (2002), and Miltersen and Persson (2002).”
- Valuation of Guaranteed Annuity Conversion Options (2003, unknown): “More recently, Grosen and Jørgensen (2000) have analyzed with profit policies, allowing for the bonus guarantee and surrender option.”
- Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches (2011, background): “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).”
- Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003, background): “An alternative surplus distribution mechanism is treated by Grosen & Jørgensen (2000).”
- Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2003, methodology): “Thus we would cite Bacinello (2002), Grosen and Jørgensen (2000, 2002), Hansen and Miltersen (2002), Jensen et al (2001), Miltersen and Persson (1999), Persson and Aase (1997) who have used market-based methodology, involving arbitrage free models, to investigate a range of different policy designs.”
- Minimum Rate of Return Guarantees: The Danish Case (2002, methodology): “The model in this paper makes use of the surplus distribution mechanism from Grosen & Jørgensen (2000) since this type of smoothing mechanism is often used in practice.”