113
Views
8
CrossRef citations to date
0
Altmetric
Research Papers

Pricing and capital requirements for with profit contracts: modelling considerations

Pages 803-817 | Received 13 Feb 2007, Accepted 24 Jul 2008, Published online: 12 Oct 2009

References

  • Bacinello , AR . 2001 . Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed . Astin Bull. , 31 : 275 – 297 .
  • Bacinello , AR . 2003 . Pricing guaranteed life insurance participating policies with annual premiums and surrender option . North Am. Actuar. J. , 7 ( 3 ) : 1 – 17 .
  • Ballotta , L . 2005 . Lévy process-based framework for the fair valuation of participating life insurance contracts . Insur.: Math. Econ. , 37 ( 2 ) : 173 – 196 .
  • Ballotta , L , Esposito , G and Haberman , S . 2006a . The IASB Insurance Project for life insurance contracts: impact on reserving methods and solvency requirements . Insur.: Math. Econ. , 39 ( 3 ) : 356 – 375 .
  • Ballotta , L , Haberman , S and Wang , N . 2006b . Guarantees in with-profit and unitised with profit life insurance contracts: fair valuation problem in presence of the default option . J. Risk Insur. , 73 ( 1 ) : 97 – 121 .
  • Bernard , C , Le Courtois , O and Quittard-Pinon , F . 2006 . Assessing the market value of safety loadings , Working Paper
  • Black , F and Scholes , M . 1973 . The pricing of options on corporate liabilities . J. Polit. Econ. , 81 : 637 – 659 .
  • Boyle , P , Broadie , M and Glasserman , P . 1997 . Monte Carlo methods for security pricing . J. Econ. Dyn. Control , 21 : 1267 – 1321 .
  • Brennan , MJ and Schwartz , ES . 1976 . The pricing of equity-linked life insurance policies with an asset value guarantee . J. Finan. Econ. , 3 : 195 – 213 .
  • Bühlmann , H , Delbaen , F , Embrechts , P and Shiryaev , AN . 1996 . No-arbitrage, change of measure and conditional Esscher transform . CWI Q. , 9 : 291 – 317 .
  • Burkardt , J . 2006 . The Sobol Quasirandom Sequence . Available online at: http://people.scs.fsu.edu/~burkardt/cpp_src/sobol/sobol.html (accessed 12 July 2007)
  • Carr , P , Geman , H , Madan , DB and Yor , M . 2002 . The fine structure of asset returns: an empirical investigation . J. Bus. , 75 : 305 – 332 .
  • CEIOPS, Consultation Paper 20, CEIOPS-CP-09/06, CEIOPS, November 2006
  • Devroye , L . 1986 . Non Uniform Random Variate Generation , Berlin : Springer-Verlag .
  • Financial Service Authority, Solvency II: a new framework for prudential regulation of insurance in the EU. Discussion Paper, Financial Service Authority, February 2006
  • FOPI, White Paper of the Swiss Solvency Test, FOPI, 2004
  • Gerber , HU and Shiu , ESW . 1994 . Option pricing by Esscher transforms (with discussion) . Trans. Soc. Actuar. , 46 : 99 – 140 . discussion: 141–191
  • Glasserman , P . 2004 . Monte Carlo Methods in Financial Engineering , Berlin : Springer .
  • Grosen , A and Jørgensen , PL . 2000 . Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies . Insur.: Math. Econ. , 26 : 37 – 57 .
  • Grosen , A and Jørgensen , PL . 2002 . Life insurance liabilities at market value: an analysis of investment risk, bonus policy and regulatory intervention rules in a barrier option framework . J. Risk Insur. , 69 : 63 – 91 .
  • Hubalek , F and Sgarra , C . 2006 . Esscher transforms and the minimal entropy martingale measure for exponential Lévy models . Quant. Finan. , 6 : 125 – 145 .
  • Kallsen , J and Shiryaev , AN . 2002 . The cumulant process and Esscher's change of measure . Finan. Stochast. , 6 : 397 – 428 .
  • Kassberger , S , Kiesel , R and Liebmann , T . 2008 . Fair valuation of insurance contracts under Lévy process specifications . Insur.: Math. Econ. , 42 : 419 – 433 .
  • Madan , DB , Carr , P and Chang , E . 1998 . The variance gamma process and option pricing . Eur. Finan. Rev. , 2 : 79 – 105 .
  • Madan , DB and Milne , F . 1991 . Option pricing with VG martingale components . Math. Finan. , 1 : 39 – 45 .
  • Madan , DB and Seneta , E . 1990 . The variance gamma (VG) model for share market returns . J. Bus. , 63 : 511 – 524 .
  • Merton , RC . 1976 . Option pricing when underlying stock returns are discontinuous . J. Finan. Econ. , : 125 – 144 .
  • Mina , J and Xiao , JY . 2001 . “ Return to RiskMetrics: the evolution of a standard. ” . In RiskMetrics , New York : Risk Technical Documents, Risk Metrics Group .
  • Moshier , SL . 2000 . Cephes Math Library , Available online at: http://www.moshier.net (accessed 17 August 2007)
  • Ribeiro , C and Webber , N . 2004 . Valuing path dependent options in the variance-gamma model by Monte Carlo with a gamma bridge . J. Comput. Finan. , 7 ( 2 ) : 81 – 100 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.