Design and Pricing of Equity-Linked Life Insurance Under Stochastic Interest Rates

By Anna Rita Bacinello, Svein-Arne Persson. 2001

75 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c6fec2d9949a286c735023cbb4332ca56f790384

How researchers see this paper

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

In Demography

1. M. Patron
2. Thomas F. Coleman
3. Yuying Li
4. Y. Kim
5. Anna Rita Bacinello
6. Laura Ballotta
7. X. Lin
8. Guojun Gan

In Economics and Econometrics

1. Thomas F. Coleman
2. Yuying Li
3. M. Patron
4. Y. Kim
5. Anna Rita Bacinello
6. Laura Ballotta
7. X. Lin
8. Guojun Gan

In Finance

1. Thomas F. Coleman
2. Yuying Li
3. M. Patron
4. Y. Kim
5. Anna Rita Bacinello
6. Laura Ballotta
7. X. Lin
8. Guojun Gan

Citations in the corpus

• Pricing and Hedging Guaranteed Annuity Options via Static Option Replication (2003, unknown): “The books by Hunt and Kennedy (2000) and Pelsser (2000) focus more explicitly on interest rate derivatives.”
• Hedging guarantees in variable annuities under both equity and interest rate risks (2006, background): “Bacinello and Ortu (1993b, 1994), Nielsen and Sandmann (1995), Miltersen and Persson (1999), Bacinello and Persson (2002), and Lin and Tan (2003) address the issue of the long maturity of the options by jointly modeling the underlying asset price (which follows an extended Black–Scholes SDE) and…”
• Affine Processes for Dynamic Mortality and Actuarial Valuations (2005, unknown): “In many models regarding unit-linked contracts (see Bacinello and Persson, 2002, and references therein), in which the financial risk plays a dominant role, that measure is usually assumed to coincide with the ‘historical’ probability measure based on statistical estimation.”
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “1 See, e.g., Bacinello and Persson (2002) and the references therein.”
• Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007, methodology): “Recent research has applied no arbitrage pricing theory from finance to calculate the values of the embedded options in insurance contracts, see for example Brennan and Schwartz (1976,[7]), Boyle Schwartz (1977, [6]), Aase and Persson (1994, [1]), Boyle and Hardy (1997, [5]), Bacinello and Persson (”