Time-consistent and market-consistent actuarial valuation of the participating pension contract-Reference-Cited by-同舟云学术

Time-consistent and market-consistent actuarial valuation of the participating pension contract

Published:2020-10-26 Issue: Volume: Page:1-29
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Salahnejhad Ghalehjooghi Ahmad¹²^ORCID,Pelsser Antoon³⁴⁵^ORCID

Affiliation:

1. Faculty of Economics & Business (FEB), KU Leuven, Leuven, Belgium

2. Nationale-Nederlanden – NN Groep, The Hague, Netherlands

3. Maastricht University (UM), Maastricht, Netherlands

4. University of Amsterdam (UvA), Amsterdam, Netherlands

5. RiskAtWork

Funder

European Union Seventh Framework Programme

FP7 People: Marie-Curie Actions

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1832911

Reference52 articles.

1. Acciaio, B. & Penner, I. (2011). Dynamic convex risk measures. In Di Nunno G. & Øksendal B., editors,Advanced Mathematical Methods for Finance. Berlin: Springer.

2. A bivariate model for evaluating equity-linked policies with surrender option

3. Coherent multiperiod risk adjusted values and Bellman’s principle

4. Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option

5. Regression-based algorithms for life insurance contracts with surrender guarantees

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