Best estimate calculations of savings contracts by closed formulas: application to the ORSA-Reference-Cited by-同舟云学术

Best estimate calculations of savings contracts by closed formulas: application to the ORSA

Published:2014-03-29 Issue:1 Volume:4 Page:181-196
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Bonnin François,Planchet Frédéric,Juillard Marc

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s13385-014-0086-z.pdf

Reference13 articles.

1. Aase KK, Persson SA (1996) Valuation of the minimum guaranteed return embedded in life insurance products. Wharton School Working Paper, p 96–20

2. Bacinello AR (2003) Fair valuation of the surrender option embedded in a guarantee life insurance participating policy. Trieste University Working Paper

3. Ballotta L (2004) Alternative framework for the fair valuation of participating life insurance contracts. Cass Business School, Actuarial Research Paper, p 157

4. Bauer D, Bergmann D, Reuss A (2010) Solvency II and nested simulations—a least-squares monte carlo approach. In: Proceedings of the 2010 ICA congress

5. Brigo D, Mercurio F (2006) Interest rate models—theory and practice, 2nd edn. Springer

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