Fair valuation of participating policies with surrender options and regime switching

A general asset–liability management model for the efficient simulation of portfolios of life insurance policies

“…In [22] stocks and bonds are modelled via a coupled system of two geometric Brownian motions with different drift and volatility parameters. In [5,26] more complex jumpdiffusion processes and Markov-modulated geometric Brownian motions are used to model the behaviour of the asset base of the company. The simulation of these models is much more involved, though.…”

A hidden Markov regime-switching model for option valuation

“…The use of modern option pricing theory to investigate some features of insurance products with embedded options was further studied by Wilkie (1987). Some other recent works on fair valuation of insurance products using option pricing theory include Lin and Tan (2003), Siu (2005), Gaillardetz and Lin (2006), Siu et al (2007Siu et al ( , 2008, Lin et al (2009) and Yuen and Yang (2010).…”

The Impact of Guarantees on the Performance of Pension Saving Schemes: Insights from the Literature

“…In particular, (risk-neutral) valuation of guarantees in pension saving products has been studied extensively forming one important stream of life insurance literature, including contributions, amongst others, by Briys and de Varenne [1], Grosen and Jørgensen [2,3], Tiong [4], Milevsky and Posner [5], Hansen and Miltersen [6], Gerber and Shiu [7], Hardy [8], Tanskanen and Lukkarinen [9], Barbarin and Devolder [10], Siu [11], Guillé n, Jørgensen, and Nielsen [12], Gatzert and Kling [13], Ledlie et al [14], Branger, Mahayni, and Schneider [15], Dong [16], Kling, Ruez, and Russ [17], Schmeiser and Wagner [18], and Goecke [19]. To evaluate guarantees based on risk-neutral valuation techniques assumes replicability of cash flows, which can be viewed as a realistic assumption for product providers, but rather not for customers.…”