Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed

By Anna Rita Bacinello. ASTIN Bulletin: The Journal of the International Actuarial Association, 2001

166 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8c5ba359846b83fcb73db50ac7caa7ac6407744

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Citations in the corpus

Risk-neutral valuation of participating life insurance contracts (2006, background): “In Bacinello (2001) and Bacinello (2003), also cliquet-style guarantees are considered.”
Market value of life insurance contracts under stochastic interest rates and default risk (2005, background): “Bacinello (2001)analyzes the most sold life insurance contract in Italy. She takes into account mortality and suggests a contract which offers the choice among different triplets of technical rate, participation level and volatility. Paying each year a premium, the insured customer gets the guarante”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “References A. R. Bacinello (2001), Fair pricing of life insurance participating policies with a minimum interest rate guarantee, ASTIN Bull.”
A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2008, methodology): “Various mathematical models for the declaration mechanism are discussed in the literature, see, e.g., [ 2 , 6, 10, 15, 16, 23, 25].”
Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “In particular, Bacinello (2001) analyzes a life insurance product introduced in Italy at the end of the 1970s, the so-called rivalutabile, for which a special portfolio of investments—covering at least the reserves of all the policies with profits issued by the same insurance company—is constituted…”
Fair valuation of participating policies with surrender options and regime switching (2005, unknown): “Bacinello (2003)adopted discrete-time binomial models for computing the numerical solutions of the fair valuation problem of participating policies. Grosen and Jørgensen (2002) adopted a barrier option framework to investigate the impact of regulatory intervention rules for reducing the insolvency r”
A Levy Process-based Framework for the Fair Valuation of Participating Life Insurance Contracts (2005, methodology): “Thus we would cite Bacinello (2001, 2003), Ballotta et al. (2004), Grosen and Jørgensen (2000, 2002), Guillén et al. (2004), Haberman et al. (2003) and the references therein, and Tanskanen and Lukkarinen (2003), just to mention some of the most recent works.”
Risk measure and fair valuation of an investment guarantee in life insurance (2005, background): “…used with success as well for equity linked contracts with maturity guarantee (see, for instance, Brennan and Schwartz, 1976; Delbaen, 1986; Aase and Persson, 1994; Nielsen and Sandmann, 1995) as for life insurances with profit (see, for instance,Bacinello, 2001, 2003; Grosen and Jorgensen, 2000).”