A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

By B. Jensen, P. L. Jørgensen, Anders Grosen. 2001

92 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fb23f09ffdba0cb0b459c606c84bb90879844f77

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Citations in the corpus

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.”
Market value of life insurance contracts under stochastic interest rates and default risk (2005, background): “Longstaff and Schwartz [1995] use Fortet’s result [1943] to approximate the law of τ in a similar problem to ours: the pricing of defaultable bonds and defaultable floating rate notes.”
Fair valuation of path-dependent participating life insurance contracts (2003, methodology): “In this section, we construct a stochastic model for valuation of life insurance contracts based onGrose and Jørgensen (2000)and Jensen et al. (2001).”
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).”
Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003, background): “Grosen and Jørgensen (2000); Jensen, Jørgensen, and Grosen (2001); and Bacinello (2003) made reference to these specific contracts and Steffensen (2002) established a more general framework.”
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (2008, methodology): “In Jensen et al. (2001), the same valuation problem is tackled in an alternative way: Within each period, they show that the value function follows a known Partial Differential Equation (PDE), namely the Black-Scholes PDE, which can be solved using finite difference methods.”
Lapse rate modeling: a rational expectation approach (2008, unknown): “To accomplish this objective, a combination of the Splitting Scheme method described in Section 2.3 and the finite difference method proposed by Jensen et al. (2001) could be used.”