|
Albizzati, M.-O., and Geman, H. (1994). Interest rate management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance, 61, 616-637.
Bacinello, A. R. (2001). Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. Astin Bulletin, 31, 275-297.
Bacinello, A. R. (2003a). Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of Risk and Insurance, 70, 461-487.
Bacinello, A. R. (2003b). Pricing guaranteed life insurance participating policies with annual premiums and surrender option. North American Actuarial Journal, 7, 1-17.
Bernard, C., Le Courtois, O., and Quittard-Pinon, F. (2005). Market value of life insurance contracts under stochastic interest rates and default risk. Insurance: Mathematics and Economics, 36, 499-516.
Black, F., and Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637-54.
Bowers, N. L., Gerber, H. U., Hickman, J. C., Jones, D. A., and Nesbitt, C. J. (1986). Actuarial mathematics. Society of Actuaries.
Boyle, P. P., and Schwartz, E. S. (1977). Equilibrium prices of guarantees under equity-linked contracts. Journal Risk and Insurance, 44, 639-60.
Brennan, M. J., and Schwartz, E. S. (1976). The pricing of equity-Linked life insurance policies with an asset value Guarantee. Journal of Financial Economics, 3, 195-213.
Brennan, M. J., and Schwartz, E. S. (1979a). Alternative investment strategies for the issues of equity-linked life insurance policies with an asset value guarantee. Journal of Business, 52, 63-93.
Brennan, M. J., and Schwartz, E. S. (1979b). Pricing and investment strategies for Equity-linked life insurance policies," Philadelpha: The S.S. Huebner Foundation for Insurance Education, Wharton School, University of Pennsylvania.
Briys, E., and de Varenne, F. (1994). Life insurance in a contingent claim framework: pricing and regulatory implications. The Geneva Papers on Risk and Insurance Theory, 19(1), 53-72.
Briys, E., and de Varenne, F. (1997a). On the risk of life insurance liabilities: debunking some common pitfalls. Journal of Risk and Insurance, 64, 673-694.
Briys, E., and de Varenne, F. (1997b). Valuing risky fixed rate debt: an extension. Journal of Financial Quantitative Analysis, 32(2), 239-248.
Cox, J. C., Ross, S. A., and Rubinstein, M. (1979). Option pricing: a simplified approach. Journal of Financial Economics, 7, 229-263.
Grosen, A., and Jørgensen, P. (1997). Valuation of early exercisable interest rate guarantees. Journal of Risk and Insurance, 64, 481-503.
Grosen, A., and Jørgensen, P. (2000). Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26, 37-57.
Grosen, A., and Jørgensen, P. (2002). 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, 63-91.
Heath, D. C., Jarrow, R. A., and Morton, A. (1992). Bond pricing and the term structure of interest rates: A new methodology for contingent claim valuation. Econometrica, 60, 77-105.
Ho, T. S. Y. and Lee, S. (1986). Term structure movements and pricing interest rate contingent claims. Journal of Finance, 41, 1011-1029.
Jensen, B., Jørgensen, P., and Grosen, A. (2001). A finite difference approach to the valuation of path dependent life insurance liabilities. The Geneva Papers on Risk and Insurance Theory, 26, 57-84.
Jørgensen, P. L., (2004). On Accounting Standards and Fair Valuation of Life Insurance and Pension Liabilities. Scand. Actuarial Journal 5, 372-394.
Longstaff, F. A. and Schwartz, E. S. (2001). Valuing American options by simulation: a simple least-square approach. The Review of Financial Studies, 14, 113-147.
Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4, 141-183.
Miltersen, K., and Persson, S. (2003). Guaranteed investment contracts: distributed and undistributed excess return. Scandinavian Actuarial Journal, 4, 257-279.
Nielsen, J. A., and Sandmann, K. (1995). Equity-linked life insurance: a model with stochastic interest rates. Insurance: Mathematics and Economics, 16, 225-253.
Tanskanen, A., and Lukkarinen, J. (2003). Fair valuation of path-dependent participating life insurance contracts. Insurance: Mathematics and Economics, 33, 595-609.
Vasicek, O. (1977). An equilibrium characterization of term structure. Journal of Financial Economics, 5, 177-188.
|