Gatzert, Nadine; Schmeiser, Hato - Institut für Versicherungswirtschaft <Sankt Gallen> - 2006
are considered. Bacinello (2003a, 2003b) analyzes the surrender option in an
Italian life insurance contract with single … concept of exercise probabilities.
Among the literature on paid-up options, Herr and Kreer (1999) model a life insurance …
contract with surrender and paid-up options with underlying stochastic interest rates;
however, the surplus participation rate …