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A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

Jensen, Bjarke; Jørgensen, Peter Løchte; Grosen, Anders - In: The Geneva Risk and Insurance Review 26 (2001) 1, pp. 57-84

This paper sets up a model for the valuation of traditional participating life insurance policies. These claims are characterized by their explicit interest rate guarantees and by various embedded option elements, such as bonus and surrender options. Owing to the structure of these contracts,...

Persistent link: https://www.econbiz.de/10005142362

Poulsen, Rolf - In: Wilmott 2021 (2021) 112, pp. 12-15

Persistent link: https://www.econbiz.de/10012536161

Non‐numerical Recipes

Poulsen, Rolf - In: Wilmott 2021 (2021) 113, pp. 12-13

Persistent link: https://www.econbiz.de/10012633563

Thomas Björk in Memoriam

Poulsen, Rolf - In: Wilmott 2021 (2021) 114, pp. 14-15

Persistent link: https://www.econbiz.de/10012633574

Things I Learned This Semester, Part Trois

Poulsen, Rolf - In: Wilmott 2021 (2021) 115, pp. 22-25

Persistent link: https://www.econbiz.de/10012633587

Cross‐Currency Betting Arbitrage

Poulsen, Rolf - In: Wilmott 2019 (2019) 100, pp. 30-31

Persistent link: https://www.econbiz.de/10012274245

Non‐normality restored

Poulsen, Rolf - In: Wilmott 2019 (2019) 101, pp. 16-17

Persistent link: https://www.econbiz.de/10012274257

Collected Brexit Anecdotes

Poulsen, Rolf - In: Wilmott 2019 (2019) 102, pp. 8-9

Persistent link: https://www.econbiz.de/10012274267

Things I Learned This Semester

Poulsen, Rolf - In: Wilmott 2019 (2019) 103, pp. 18-19

Persistent link: https://www.econbiz.de/10012274284

Elasticity of Variance of Variance

Poulsen, Rolf - In: Wilmott 2020 (2020) 105, pp. 12-15

Persistent link: https://www.econbiz.de/10012274307

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