Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

129 citations recorded by the source corpus.

How researchers see this paper

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

A Levy Process-based Framework for the Fair Valuation of Participating Life Insurance Contracts (2005, methodology): “Hence, let P̂ be some risk-neutral probability measure; then, applying risk-neutral valuation, equation (2) implies that the market value of the policyholder’s claim is: C (0) = V P (0) + γV R (0) − V D (0) , with V P (0) = Ê [ e P (T ) ] , V R (0) = Ê [ e R (T ) ] , V D (0) = Ê [ e D (T ) ]”
Regression-based algorithms for life insurance contracts with surrender guarantees (2010, unknown): “In the first group of papers, for example, Bacinello (2003a,b) considers participating policies, while Vannucci (2003) and Bacinello (2005) consider equity-linked contracts embedding a surrender option (see Section 3.1 for a detailed description of these contracts). In both cases mortality as well a”
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).”