Analysis of embedded options in individual pension schemes in Germany

GENEVA Risk and Insurance Review

Volumn 31, Issue 1, 2006, Pages 43-60

  Kling, Alexander ^a   Russ, Jochen ^a   Schmeiser, Hato ^b  

^a Institut fur Finanz und Aktuarwissenschaften   (Germany)

^b UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Individual pension schemes; Money back guarantee; Option pricing

Indexed keywords

EID: 33750182571     PISSN: 1554964X     EISSN: 15549658     Source Type: Journal    
DOI: 10.1007/s10713-006-9467-9     Document Type: Article

References (9)

1. ANDERSON, L. [1999]3A "A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-factor Labor Market Model," Journal of Computational Finance, 3, 5-32.
2. DILLMANN, T. and RUSS, J. [2003]: "Implicit Options in Life Insurance Contracts-From Option Pricing to the Price of the Option," Working Paper, University of Ulm.
3. DOUADY, R. [2002] : "Bermudan Option Pricing with Monte Carlo Methods," in Quantitative Analysis in Financial Markets, Volume III. World Scientific Publishing Co. pp. 314-328.
4. GRÜNDL, H., NIETERT, B., and SCHMEISER, H. [2004]: "Zur Zusage der nominalen Kapitalerhaltung bei investmentfondsorientierten Riester-Produkten: Einige Überlegungen aus finanzierungstheoretischer Sicht," Zeitschrift für Betriebswirtschaft, 74, 119-137.
5. HARRISON, J.M. and KREPS, D.M. [1979]: "Maitingales and Arbitrage in Multiperiod Securities Markets," Journal of Economic Theory, 20, 381-408.
6. HARRISON, J.M. and PLISKA, S.R. [1981]: "Martingales and Stochastic Integrals in the Theory of Continuous Trading," Stochastic Processes and Their Applications, 11, 215-260.
7. HULL, J.C. [2003]: Options, Futures, and Other Derivatives, 5th ed. Englewood Cliffs, NJ: Prentice-Hall, Inc.
8. LACHANCE, E.-M. and MITCHELL, O.S. [2003]: "Understanding Individual Account Guarantees," in The Pension Challenge: Risk Transfers and Retirement Income Security. Pension Research Council. O.S. Mitchell and K. Smetters (Eds.), Oxford, UK: Oxford University Press, pp. 159-186.
9. RUSS, J. [1999]: "Die aktienindexgebundene Lebensversicherung mit garantierter Mindestverzinsung in Deutschland," IFA-Verlag, Ulm.