Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

Insurance: Mathematics and Economics

Volumn 26, Issue 1, 2000, Pages 37-57

  Grosen, Anders ^a   Løchte Jørgensen, Peter ^b  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

^b AARHUS UNIVERSITY   (Denmark)

Author keywords

Bonus policy; Contingent claims valuation; Embedded options; G13; G22; G23; IE01. KWD Participating Life Insurance Policies; IM10; Surrender

Indexed keywords

EID: 0003019365     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00041-4     Document Type: Article

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