IDEAS home Printed from https://ideas.repec.org/r/ucp/jnlbus/v52y1979i1p63-93.html
   My bibliography  Save this item

Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Cristina CIUMAS & Diana-Maria CHIS & Ramona Alexandrina COCA, 2014. "Unit-Linked Life Insurance Contracts With Investment Guarantees Ï¿½ A Proposal For Romanian Life Insurance Market," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 0(Special i), pages 19-24, September.
  2. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
  3. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
  4. Scott Robertson & Konstantinos Spiliopoulos, 2014. "Indifference pricing for Contingent Claims: Large Deviations Effects," Papers 1410.0384, arXiv.org, revised Feb 2016.
  5. 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.
  6. Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Verein für Socialpolitik, vol. 9(2), pages 207-231, May.
  7. repec:bla:germec:v:9:y:2008:i::p:207-231 is not listed on IDEAS
  8. Christian Hilpert, 2020. "The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 665-687, September.
  9. Liew, Chuin Ching & Siu, Tak Kuen, 2010. "A hidden Markov regime-switching model for option valuation," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 374-384, December.
  10. Olivier Le Courtois & François Quittard-Pinon & Xiaoshan Su, 2020. "Pricing and hedging defaultable participating contracts with regime switching and jump risk," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 303-339, June.
  11. Dhaene, Jan & Stassen, Ben & Barigou, Karim & Linders, Daniël & Chen, Ze, 2017. "Fair valuation of insurance liabilities: Merging actuarial judgement and market-consistency," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 14-27.
  12. Yang, Sharon S. & Dai, Tian-Shyr, 2013. "A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 231-242.
  13. Møller, T., 2002. "On Valuation and Risk Management at the Interface of Insurance and Finance," British Actuarial Journal, Cambridge University Press, vol. 8(4), pages 787-827, October.
  14. Constantinides, George M. & Perrakis, Stylianos, 2002. "Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1323-1352, July.
  15. 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.
  16. 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.
  17. Melnikov Alexander & Skornyakova Victoria, 2005. "Quantile hedging and its application to life insurance," Statistics & Risk Modeling, De Gruyter, vol. 23(4), pages 301-316, April.
  18. Cristina Ciumas & Diana-Maria Chis, 2015. "Unit-Linked Life Insurance Products Versus Other Alternative Investments," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 7(3), pages 222-227, September.
  19. Jensen, Bjarne Astrup & Sørensen, Carsten, 2000. "Paying for minimum interest rate guarantees: Who should compensate who?," Working Papers 2000-1, Copenhagen Business School, Department of Finance.
  20. Miltersen, Kristian R. & Persson, Svein-Arne, 1999. "Pricing rate of return guarantees in a Heath-Jarrow-Morton framework," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 307-325, December.
  21. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011. "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 547-564.
  22. Ciumas Cristina & Chis Diana-Maria, 2014. "Pricing And Assessing Unit-Linked Insurance Contracts With Investment Guarantees," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 864-873, July.
  23. Melnikov, Alexander & Tong, Shuo, 2014. "Quantile hedging on equity-linked life insurance contracts with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 77-88.
  24. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
  25. Hanna, Vanessa & Hieber, Peter & Devolder, Pierre, 2021. "Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy," LIDAM Discussion Papers ISBA 2021010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Melnikov, Alexander & Tong, Shuo, 2014. "Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling," Risk and Decision Analysis, IOS Press, issue 5, pages 23-41.
  27. Charles Guy Njike Leunga & Donatien Hainaut, 2022. "Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 963-990, June.
  28. Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. Thomas Møller, 2001. "Risk-minimizing hedging strategies for insurance payment processes," Finance and Stochastics, Springer, vol. 5(4), pages 419-446.
  30. Virginia R. Young, 2004. "Pricing In An Incomplete Market With An Affine Term Structure," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 359-381, July.
  31. Corielli, Francesco & Penati, Alessandro, 1996. "Long-run equity risk and dynamic trading strategies: a simulation exercise for the Italian stock market," Ricerche Economiche, Elsevier, vol. 50(1), pages 27-56, March.
  32. 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.
  33. Fan, Kun & Shen, Yang & Siu, Tak Kuen & Wang, Rongming, 2015. "Pricing annuity guarantees under a double regime-switching model," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 62-78.
  34. Cristina CIUMAȘ & Diana-Maria CHIȘ, 2015. "Modelling The Guarantee Liability Under Unit-Linked Contracts," SEA - Practical Application of Science, Romanian Foundation for Business Intelligence, Editorial Department, issue 7, pages 165-170, April.
  35. Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
  36. Francesco Della Corte & Francesca Marzorati, 2024. "A Discrete Risk-Theory Approach to Manage Equity-Linked Policies in an Incomplete Market," JRFM, MDPI, vol. 17(4), pages 1-17, April.
  37. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
  38. Dong, Bing & Xu, Wei & Sevic, Aleksandar & Sevic, Zeljko, 2020. "Efficient willow tree method for variable annuities valuation and risk management☆," International Review of Financial Analysis, Elsevier, vol. 68(C).
  39. Hürlimann, Werner, 2010. "Analytical Pricing of the Unit-Linked Endowment with Guarantees and Periodic Premiums," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 631-653, November.
  40. 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.
  41. Jaimungal, Sebastian & Young, Virginia R., 2005. "Pricing equity-linked pure endowments with risky assets that follow Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 329-346, June.
  42. Burnecki, Krzysztof & Pazdan-Siudeja, Liliana, 2008. "Equity-linked insurances and guaranteed annuity options," MPRA Paper 21658, University Library of Munich, Germany.
  43. Hieber, Peter, 2017. "Cliquet-style return guarantees in a regime switching Lévy model," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 138-147.
  44. Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard, 2015. "The payoff distribution model: an application to dynamic portfolio insurance," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 299-312, February.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.