On the regulator-insurer interaction in a structural model

Journal of Computational and Applied Mathematics

Volumn 233, Issue 1, 2009, Pages 3-15

  Bernard, Carole ^a   Chen, An ^b,c  

^a UNIVERSITY OF WATERLOO   (Canada)

^b NETSPAR   (Netherlands)

^c UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Default risk; Life insurance policies; Regulatory rule

Indexed keywords

CONTINGENT CLAIMS; DEFAULT PROBABILITIES; DEFAULT RISK; INSURANCE COMPANIES; INSURANCE THEORY; LIFE INSURANCE; LIFE INSURANCE POLICIES; MARKET VALUES; REGULATORY INTERVENTIONS; REGULATORY RULE; REGULATORY RULES; RISK EXPOSURE; RISK MANAGEMENT STRATEGIES; STRUCTURAL MODELS;

COMMERCE; CONTRACTS; ECONOMICS; LAWS AND LEGISLATION; MODEL STRUCTURES; RISK ANALYSIS; RISK MANAGEMENT; RISK PERCEPTION;

INSURANCE;

EID: 68949173704     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cam.2008.04.026     Document Type: Article

References (23)

1. Ballotta L. A Lévy process-based framework for the fair valuation of participating life insurance contracts. Insurance: Mathematics and Economics 37 2 (2005) 173-196
2. Ballotta L., Haberman S., and Wang N. Guarantees in with-profit and unitised with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance 73 1 (2005) 97-121
3. C. Bernard, A. Chen, A.A.J. Pelsser, Cost of regulation under solvency II, 2008, Life & Pensions (in press)
4. Bernard C., Le Courtois O., and Quittard-Pinon F. Market value of life insurance contracts under stochastic interest rates and default risk. Insurance: Mathematics and Economics 36 3 (2005) 499-516
5. Bernard C., Le Courtois O., and Quittard-Pinon F. Development and pricing of a new participating contract. North American Actuarial Journal 10 4 (2006) 179-195
6. Bhattacharya S., Planck M., Strobl G., and Zechner J. Bank capital regulation with random audits. Journal of Economic Dynamics & Control 26 (2002) 1301-1321
7. Black F., and Cox J.C. Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance 31 2 (1976) 351-367
8. P.P. Boyle, W. Tian, The design of equity-indexed annuities, Insurance: Mathematics and Economics (2008) (in press)
9. Briys E., and de Varenne F. Life insurance in a contingent claim framework: Pricing and regulatory implications. Geneva Papers on Risk and Insurance Theory 19 1 (1994) 53-72
10. Briys E., and de Varenne F. Valuing risky fixed rate debt: An extension. Journal of Financial and Quantitative Analysis 32 2 (1997) 239-248
11. Briys E., and de Varenne F. Insurance from Underwriting to Derivatives (2001), Wiley Finance
12. Chen A., and Suchanecki M. Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance: Mathematics and Economics 40 (2007) 231-255
13. Dangl T., and Lehar A. Value-at-risk vs. building block regulation in banking. Journal of Financial Intermediation 13 (2004) 96-131
14. Grosen A., and Jørgensen P.L. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26 1 (2000) 37-57
15. Grosen A., and Jørgensen P.L. Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of Risk and Insurance 69 1 (2002) 63-91
16. Jørgensen P.L. On accounting standards and fair valuation of life insurance and pension liabilities. Scandinavian Actuarial Journal 5 (2004) 372-394
17. Karatzas I., and Shreve S.E. Brownian Motion and Stochastic Calculus (1991), Springer-Verlag, New York
18. Longstaff F.A., and Schwartz E.S. A simple approach to valuing risky fixed and floating rate debt. Journal of Finance 50 3 (1995) 789-820
19. Merton R.C. Theory of rational option pricing. Bell Journal of Economic and Management Science 4 (1973) 141-183
20. Merton R.C. On the pricing of corporate debt: The risk structure of interest rates. Journal of finance 29 (1974) 449-470
21. Merton R.C. On the cost of deposit insurance when there are surveillance costs. Journal of Business 51 3 (1978) 439-452
22. Schulte G. The Fall of First Executive: The House That Fred Carr Built (1991), Harpercollins
23. Takács L. On a generalization of the arc-sine law. The Annals of Applied Probability 6 3 (1996) 1035-1040