Dedicated to the memory of my two most admired purists whose work stood the test of time
against the critics: Theodore Samuel Williams, baseball player and fisherman and Merton H …

In this paper we analyse, in a contingent-claims framework, one of the most common life
insurance policies sold in Italy during the last two decades. The policy, of the endowment …

This paper analyzes a life insurance endowment policy, paid by annual premiums, in which
the benefit is annually adjusted according to the performance of a special investment …

Annual minimum rate of return guarantees are analyzed together with rules for distribution of
positive excess return, ie investment returns in excess of the guaranteed minimum return …

The valuation of life insurance contracts using concepts from financial mathematics has
recently attracted considerable interest in academia as well as among practitioners. In this …

Proper pricing and risk assessment of implicit options in life insurance contracts has gained
substantial attention in recent years, which is reflected in a growing literature in this field. In …

Traditional life insurance policies in many markets are sold with minimum interest rate
guarantees. This paper concentrates on the risk cliquet-style guarantees impose on the …

New regulations and a stronger competition have increased the importance of stochastic
asset–liability management (ALM) models for insurance companies in recent years. In this …

Fair pricing of embedded options in life insurance contracts is usually conducted by using
risk‐neutral valuation. This pricing framework assumes a perfect hedging strategy, which …

In this paper we analyze how the traditional life and pension contracts with a guaranteed
rate of return can be optimized to increase customers' welfare. Given that the contracts have …