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Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option

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Cited by:

  1. Zhao, Yixing & Mamon, Rogemar & Gao, Huan, 2018. "A two-decrement model for the valuation and risk measurement of a guaranteed annuity option," Econometrics and Statistics, Elsevier, vol. 8(C), pages 231-249.
  2. Maria B. Chiarolla & Tiziano Angelis & Gabriele Stabile, 2022. "An analytical study of participating policies with minimum rate guarantee and surrender option," Finance and Stochastics, Springer, vol. 26(2), pages 173-216, April.
  3. Andrea Consiglio & Domenico De Giovanni, 2010. "Pricing the Option to Surrender in Incomplete Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 935-957, December.
  4. Siu, Tak Kuen, 2005. "Fair valuation of participating policies with surrender options and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 533-552, December.
  5. Martin Eling & Michael Kochanski, 2013. "Research on lapse in life insurance: what has been done and what needs to be done?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 14(4), pages 392-413, August.
  6. Bernard, Carole & MacKay, Anne & Muehlbeyer, Max, 2014. "Optimal surrender policy for variable annuity guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 116-128.
  7. Thomas Url, 2014. "Vorteile der Risikoübernahme in der klassischen Lebensversicherung," WIFO Studies, WIFO, number 60603.
  8. Abdou Kélani & François Quittard-Pinon, 2017. "Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(1), pages 209-238, March.
  9. Kling, Alexander & Richter, Andreas & Ruß, Jochen, 2006. "The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees," Discussion Papers in Business Administration 1220, University of Munich, Munich School of Management.
  10. Berdin, Elia & Pancaro, Cosimo & Kok Sørensen, Christoffer, 2016. "A stochastic forward-looking model to assess the profitability and solvency of European insurers," ICIR Working Paper Series 21/16, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  11. Consiglio, Andrea & De Giovanni, Domenico, 2008. "Evaluation of insurance products with guarantee in incomplete markets," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 332-342, February.
  12. Christian Knoller & Gunther Kraut & Pascal Schoenmaekers, 2016. "On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 979-1006, December.
  13. Kassberger, Stefan & Kiesel, Rüdiger & Liebmann, Thomas, 2008. "Fair valuation of insurance contracts under Lévy process specifications," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 419-433, February.
  14. Nalan Gülpınar & Dessislava Pachamanova & Ethem Çanakoğlu, 2016. "A robust asset–liability management framework for investment products with guarantees," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(4), pages 1007-1041, October.
  15. Kélani Abdou & Quittard-Pinon François, 2013. "Pricing Equity Index Annuities with Surrender Options in Four Models," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 7(2), pages 105-142, July.
  16. Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 839-849, April.
  17. Kim Changki, 2009. "Valuing Surrender Options in Korean Interest Indexed Annuities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(2), pages 1-22, April.
  18. Fard, Farzad Alavi & Siu, Tak Kuen, 2013. "Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 712-721.
  19. Kamille Sofie T{aa}gholt Gad & Jeppe Juhl & Mogens Steffensen, 2014. "Reserve-Dependent Surrender," Papers 1412.1991, arXiv.org.
  20. Weinert, Jan-Hendrik, 2017. "The fair surrender value of a tontine," ICIR Working Paper Series 26/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
  21. Tak Siu & John Lau & Hailiang Yang, 2007. "On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(3), pages 255-275, September.
  22. Marcos Escobar & Mikhail Krayzler & Franz Ramsauer & David Saunders & Rudi Zagst, 2016. "Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs," Risks, MDPI, vol. 4(4), pages 1-36, November.
  23. Eling, Martin & Holder, Stefan, 2013. "The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 491-503.
  24. Hsieh, Ming-hua & Wang, Jennifer L. & Chiu, Yu-Fen & Chen, Yen-Chih, 2018. "Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 246-254.
  25. Kling, Alexander & Richter, Andreas & Ru[ss], Jochen, 2007. "The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 164-178, January.
  26. Lin, Shih-Kuei & Lin, Chien-Hsiu & Chuang, Ming-Che & Chou, Chia-Yu, 2014. "A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices," Economic Modelling, Elsevier, vol. 38(C), pages 341-350.
  27. Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2015. "Designing and pricing guarantee options in defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 267-279.
  28. David R. Ba~nos & Salvador Ortiz-Latorre & Oriol Zamora Font, 2023. "Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model," Papers 2309.03541, arXiv.org, revised Feb 2024.
  29. Zemp, Alexandra, 2011. "Risk comparison of different bonus distribution approaches in participating life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 249-264, September.
  30. De Giovanni, Domenico, 2007. "Lapse Rate Modeling: A Rational Expectation Approach," Finance Research Group Working Papers F-2007-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  31. Cheng, Chunli & Hilpert, Christian & Miri Lavasani, Aidin & Schaefer, Mick, 2023. "Surrender contagion in life insurance," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1465-1479.
  32. Bohnert, Alexander & Gatzert, Nadine, 2012. "Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 64-78.
  33. Schmeiser, H. & Wagner, J., 2011. "A joint valuation of premium payment and surrender options in participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 580-596.
  34. Anna Maria Gambaro & Riccardo Casalini & Gianluca Fusai & Alessandro Ghilarducci, 2019. "A market-consistent framework for the fair evaluation of insurance contracts under Solvency II," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 157-187, June.
  35. Goecke, Oskar, 2013. "Pension saving schemes with return smoothing mechanism," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 678-689.
  36. Alexandre Carbonneau, 2020. "Deep Hedging of Long-Term Financial Derivatives," Papers 2007.15128, arXiv.org.
  37. Bauer, Daniel & Kiesel, Rudiger & Kling, Alexander & Ru[ss], Jochen, 2006. "Risk-neutral valuation of participating life insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 171-183, October.
  38. Feodoria, Mark & Förstemann, Till, 2015. "Lethal lapses: How a positive interest rate shock might stress German life insurers," Discussion Papers 12/2015, Deutsche Bundesbank.
  39. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
  40. Boado-Penas, M. Carmen & Brinker, Leonie V. & Eisenberg, Julia & Korn, Ralf, 2023. "Managing reputational risk in the decumulation phase of a pension fund," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 52-68.
  41. Nadine Gatzert & Hato Schmeiser, 2008. "Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 691-712, September.
  42. Olivier Le Courtois & François Quittard-Pinon, 2008. "Fair Valuation of Participating Life Insurance Contracts with Jump Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 33(2), pages 106-136, December.
  43. Tobias Burkhart, 2018. "Surrender Risk in the Context of the Quantitative Assessment of Participating Life Insurance Contracts under Solvency II," Risks, MDPI, vol. 6(3), pages 1-38, June.
  44. Su, Karen C., 2010. "The conversion option in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 437-442, June.
  45. Bacinello, Anna Rita, 2005. "Endogenous model of surrender conditions in equity-linked life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 270-296, October.
  46. Jack Clark Francis & Arie Harel & Giora Harpaz, 2010. "Actuarially Fair Premia for Deductible Insurance Policies," The American Economist, Sage Publications, vol. 55(2), pages 83-91, November.
  47. Francesca Biagini & Tobias Huber & Johannes G. Jaspersen & Andrea Mazzon, 2021. "Estimating extreme cancellation rates in life insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(4), pages 971-1000, December.
  48. Kochanski, Michael, 2010. "Solvency capital requirement for German unit-linked insurance products," German Risk and Insurance Review (GRIR), University of Cologne, Department of Risk Management and Insurance, vol. 6(2), pages 33-70.
  49. Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
  50. Chang Shih-Chieh & Lee Yen-Kuan & Hsuan Wei & Tu Chang-ye, 2020. "Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 14(1), pages 1-16, January.
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