Fair valuation of participating policies with surrender options and regime switching

Insurance: Mathematics and Economics

Volumn 37, Issue 3, 2005, Pages 533-552

  Siu, Tak Kuen ^a  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Change of measures; Participating American policies; Perpetual contracts; Regime switching; Second order piecewise linear ODEs

Indexed keywords

EID: 29144482329     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.05.007     Document Type: Article

References (28)

1. A.R. Bacinello Fair pricing of life insurance participating policies with a minimum interest rate guaranteed ASTIN Bull. 31 2 2001 275-297
2. A.R. Bacinello Fair valuation of a guaranteed life insurance participating contract embedding a surrender option J. Risk Insur. 70 3 2003 461-487
3. A.R. Ballotta S. Haberman N. Wang Guarantees in with-profit and unitised with-profit life insurance contracts: Fair valuation problem in presence of the default option Working Paper. Cass Business School 2003 City University London
4. Ballotta, A.R., 2004. Alternative framework for the fair valuation of participating life insurance contracts. Working Paper. Cass Business School, City University, London
5. G. Barone-Adesi R. Whaley Efficient analytic approximation of american option values J. Finance 42 1987 301-320
6. M. Broadie P. Glasserman Pricing american-style securities using simulations J. Econ. Dyn. Contr. 21 1997 1323-1352
7. J. Buffington R.J. Elliott American options with regime switching Int. J. Theoret. Appl. Finance 5 2002 497-514
8. Chu, C.C., Kwok, Y.K., 2005. Pricing participating policies with rate guarantees and bonuses. Working Paper. Department of Mathematics, The Hong Kong University of Science and Technology, Hong Kong
9. R.J. Elliott L. Aggoun J.B. Moore Hidden Markov Models: Estimation and Control 1994 Springer-Verlag Berlin
10. R.J. Elliott P.E. Kopp Mathematics of Financial Market 2nd ed. 2004 Springer-Verlag Berlin
11. Elliott, R.J., Chan, L.L., Siu, T.K., 2005. Option pricing and Esscher transform under regime switching. Ann. Finance, in press.
12. H.U. Gerber E.S.W. Shiu Option pricing by Esscher transforms (with discussions) Trans. Soc. Actuar. 46 1994 99-191
13. A. Grosen P.L. Jørgensen Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies Insur.: Math. Econ. 26 2000 37-57
14. A. Grosen P.L. Jørgensen Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework J. Risk Insur. 69 1 2002 63-91
15. X. Guo Information and option pricings Quant. Finance 1 2001 38-44
16. X. Guo Q. Zhang Closed-form solutions for perpetual american put options with regime switching SIAM J. Appl. Math. 64 6 2004 2034-2049
17. M. Hansen P.L. Jørgensen Analytical valuation of american-style asian options Manage. Sci. 46 8 2000 1116-1136
18. J.M. Harrison D.M. Kreps Martingales and arbitrage in multiperiod securities markets J. Econ. Theory 20 1979 381-408
19. J.M. Harrison S.R. Pliska Martingales and stochastic integrals in the theory of continuous trading Stochast. Process. Appl. 11 1981 215-280
20. J.M. Harrison S.R. Pliska A stochastic calculus model of continuous trading: Complete markets Stochast. Process. Appl. 15 1983 313-316
21. I. Karatzas On the pricing of the american option Appl. Math. Optimiz. 17 1988 37-60
22. I. Karatzas Optimization problems in the theory of continuous trading SIAM J. Contr. Optimiz. 27 6 1989 1221-1259
23. B. Øksendal Stochastic Differential Equations 6th ed. 2003 Springer-Verlag Berlin
24. D. Priel V. Putyatin T. Nassar On pricing and reserving with-profits life insurance contracts Appl. Math. Finance 8 2001 145-166
25. Siu, T.K., 2005. On fair valuation of participating life insurance policies with regime switching, submitted for Publication.
26. J. Tilley Valuing american options in a path simulation model Trans. Soc. Actuar. 45 1993 83-104
27. A.D. Wilkie An option pricing approach to bonus policy J. Inst. Actuar. 114 1987 21-77
28. Willder, M., 2004. An option pricing approach to pricing guarantees given under unitised with-profits policies. Ph.D. Thesis. Heriot-Watt University, pp. 1-280.