Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches

Insurance: Mathematics and Economics - Tập 49 - Trang 115-125 - 2011
Stefan Graf1, Alexander Kling2, Jochen Ruß2
1Ulm University, Helmholtzstraße 22, 89081, Ulm, Germany
2Institut für Finanz- und Aktuarwissenschaften, Helmholtzstraße 22, 89081, Ulm, Germany

Tài liệu tham khảo

Barbarin, 2005, Risk measure and fair valuation of an investment guarantee in life insurance, Insurance: Mathematics and Economics, 37, 297, 10.1016/j.insmatheco.2005.02.006 Bauer, 2006, Risk-neutral valuation of participating life insurance contracts, Insurance: Mathematics and Economics, 39, 171, 10.1016/j.insmatheco.2006.02.003 Björk, 2005 Black, 1973, The pricing of options and corporate liabilities, The Journal of Political Economy, 81, 637, 10.1086/260062 Bryis, 1997, On the risk of insurance liabilities: debunking some pitfalls, Journal of Risk and Insurance, 64, 637 Fishman, 1996 Gatzert, 2008, Asset management and surplus distribution strategies in life insurance: an examination with respect to risk pricing and risk measurement, Insurance: Mathematics and Economics, 42, 839, 10.1016/j.insmatheco.2007.09.001 Gatzert, 2007, Analysis of participating life insurance contracts: a unification approach, Journal of Risk and Insurance, 74, 547, 10.1111/j.1539-6975.2007.00224.x GDV 2007. Statistisches Taschenbuch der Versicherungswirtschaft. Technical Report of the Association of German Insurers. Graf, 2008 Grosen, 2000, Fair valuation of life insurance liabilities: the impact of guarantees, surrender options and bonus policies, Insurance: Mathematics and Economics, 26, 37, 10.1016/S0167-6687(99)00041-4 Grosen, 2002, Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy and regulatory invention rules in a barrier option framework, Journal of Risk and Insurance, 69, 63, 10.1111/1539-6975.00005 Kling, 2007 Kling, 2007, The impact of surplus distribution on the risk exposure of with profit life insurance policies including interest rate guarantees, Journal of Risk and Insurance, 74, 571, 10.1111/j.1539-6975.2007.00225.x Kling, 2007, The interaction of guarantees, surplus distribution, and asset allocation in with profit life insurance policies, Insurance: Mathematics and Economics, 40, 164, 10.1016/j.insmatheco.2006.03.007 Rechenberg, 1994 Shreve, 2004, vol. 2 Sørensen, 1997, Estimating functions for discretely observed diffusions: a review, 32, 305 Vasicek, 1977, An equilibrium characterization of the term structure, Journal of Financial Economics, 5, 177, 10.1016/0304-405X(77)90016-2