Level Premium Model for Portfolio of Life Insurance Contracts with Stochastic Interest Rates

Insurance Contracts ◽

Stochastic Interest ◽

Premium Model

Market value of life insurance contracts under stochastic interest rates and default risk

10.1016/j.insmatheco.2005.01.002 ◽

2005 ◽

Vol 36 (3) ◽

pp. 499-516 ◽

Cited By ~ 47

Author(s):

Carole Bernard ◽

Olivier Le Courtois ◽

François Quittard-Pinon

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Default Risk ◽

Market Value ◽

Value Of Life ◽

Insurance Contracts ◽

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

10.1016/j.insmatheco.2009.09.003 ◽

2009 ◽

Vol 45 (3) ◽

pp. 436-448 ◽

Cited By ~ 43

Author(s):

Alexander van Haastrecht ◽

Roger Lord ◽

Antoon Pelsser ◽

David Schrager

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Insurance Contracts ◽

Equity-linked life insurance: A model with stochastic interest rates

10.1016/0167-6687(95)00007-f ◽

1995 ◽

Vol 16 (3) ◽

pp. 225-253 ◽

Cited By ~ 39

Author(s):

J. Aase Nielsen ◽

Klaus Sandmann

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates

The Journal of Risk Finance ◽

10.1108/eb043484 ◽

2002 ◽

Vol 3 (2) ◽

pp. 6-21 ◽

Cited By ~ 19

Author(s):

ANNA RITA BACINELLO ◽

SVEIN‐ARNE PERSSON

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Valuation of life insurance products under stochastic interest rates

10.1016/j.insmatheco.2007.02.009 ◽

2008 ◽

Vol 42 (1) ◽

pp. 212-226 ◽

Cited By ~ 4

Author(s):

Patrice Gaillardetz

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Stochastic Interest ◽

Valuation Of Life

Design and Pricing of Equity-Linked Life Insurance Under Stochastic Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.276701 ◽

2001 ◽

Cited By ~ 2

Author(s):

Anna Rita Bacinello ◽

Svein-Arne Persson

Keyword(s):

Interest Rates ◽

Life Insurance ◽

“Authors’ Reply: Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates: Evaluation Methods and Applications,” Maria Giuseppina Bruno, Emanuela Camerini and Alvaro Tomassetti, October 2000 - Discussion by Fabrizio Cacciafesta

North American Actuarial Journal ◽

10.1080/10920277.2002.10596068 ◽

2002 ◽

Vol 6 (4) ◽

pp. 110-113

Author(s):

Maria Giuseppina Bruno ◽

Emanuela Camerini ◽

Alvaro Tomassetti

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Evaluation Methods ◽

Insurance Policies ◽

Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling

Risk and Decision Analysis ◽

10.3233/rda-130099 ◽

2014 ◽

Vol 5 (1) ◽

pp. 23-41

Author(s):

Alexander Melnikov ◽

Shuo Tong

Keyword(s):

Interest Rates ◽

Insurance Contracts ◽

Stochastic Interest ◽

Efficient Hedging

Financial and Demographic Risks of a Portfolio of Life Insurance Policies with Stochastic Interest Rates

North American Actuarial Journal ◽

10.1080/10920277.2000.10595937 ◽

2000 ◽

Vol 4 (4) ◽

pp. 44-55 ◽

Cited By ~ 7

Author(s):

Maria Giuseppina Bruno ◽

Emanuela Camerini ◽

Alvaro Tomassetti

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Insurance Policies ◽

“Financial and Demographic Risk of a Portfolio of Life Insurance Policies with Stochastic Interest Rates: Evaluation Methods and Applications,” M. G. Bruno, E. Camerini, and A. Tomassetti, October 2000

North American Actuarial Journal ◽

10.1080/10920277.2001.10596022 ◽

2001 ◽

Vol 5 (4) ◽

pp. 112-114 ◽

Cited By ~ 1

Author(s):

Fabrizio Cacciafesta

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Evaluation Methods ◽

Insurance Policies ◽

Stochastic Interest ◽

Demographic Risk