For centuries, mathematicians and, later, statisticians, have found natural research and
employment opportunities in the realm of insurance. By definition, insurance offers financial …

Guaranteed minimum accumulation benefits (GMABs) are retirement savings vehicles that
protect the policyholder against downside market risk. This article proposes a valuation …

In absence of a closed form expression such as in the Heston model, the option pricing is
computationally intensive when calibrating a model to market quotes. this article proposes …

Delong et al.(2018) presented a theory of fair (market-consistent and actuarial) valuation of
insurance liability cash-flow streams in continuous time. In this paper, we investigate in …

This paper considers the pricing of equity-linked life insurance contracts with death and
survival benefits in a general model with multiple stochastic risk factors: interest rate, equity …

Current approaches to fair valuation in insurance often follow a two-step approach,
combining quadratic hedging with application of a risk measure on the residual liability, to …

Financial products are priced using risk-neutral expectations justified by hedging portfolios
that (as accurate as possible) match the product's payoff. In insurance, premium calculations …

The general principles for determining the financial performance of a company is that
revenue is earned as goods are delivered or services provided, and that expenses in the …

In this paper we discuss the concept of the cost‐of‐capital (CoC) rate for an insurance
company as an equilibrium in the economic triangle of policyholders, shareholders, and the …

In this paper, we introduce the 3-step hedge-based valuation for the valuation of hybrid
claims. We consider an insurance portfolio which is exposed to traded risks, diversifiable …