The DOI matches its Crossref record; 18 of the 18 references it cites were found in a registry or an index.
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Option pricing: A simplified approach
Cox, J. C., Ross, S. A., & Rubinstein, M. (1979) · Journal of Financial Economics · doi:10.1016/0304-405x(79)90015-1 · Cited by 6,083
Martingales and arbitrage in multiperiod securities markets
Harrison, J. M., & Kreps, D. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90043-7 · Cited by 3,593
Options: A Monte Carlo approach
Boyle, P. P. (1977) · Journal of Financial Economics · doi:10.1016/0304-405x(77)90005-8 · Cited by 1,336
Monte Carlo methods for security pricing
Boyle, P., Broadie, M., & Glasserman, P. (1997) · Journal of Economic Dynamics and Control · doi:10.1016/s0165-1889(97)00028-6 · Cited by 854
Random Number Generation and Monte Carlo Methods
B. Borkowf, C. (2000) · Technometrics · doi:10.1080/00401706.2000.10485723 · Cited by 799
Pricing American-style securities using simulation
Broadie, M. N., & Glasserman, P. (1997) · Journal of Economic Dynamics and Control · doi:10.1016/s0165-1889(97)00029-8 · Cited by 638
The pricing of equity-linked life insurance policies with an asset value guarantee
Brennan, M. J., & Schwartz, E. S. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90003-9 · Cited by 509
Random Number Generation and Monte Carlo Methods
Gentle, J. E. (1998) · Statisctics and computing/Statistics and computing · doi:10.1007/978-1-4757-2960-3 · Cited by 408
On the pricing of American options
Karatzas, I. (1988) · Applied Mathematics & Optimization · doi:10.1007/bf01448358 · Cited by 382
Cited by
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets
Lunde, A., & Timmermann, A. (2004) · Journal of Business & Economic Statistics · doi:10.1198/073500104000000136 · Cited by 258
What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market
Eling, M., & Kiesenbauer, D. (2014) · Journal of Risk and Insurance · doi:10.1111/j.1539-6975.2012.01504.x · Cited by 81
Main Determinants of Lapse in the German Life Insurance Industry
Kiesenbauer, D. (2012) · North American Actuarial Journal · doi:10.1080/10920277.2012.10590632 · Cited by 62
(2008) · Archive of Doctoral Theses and Digital Collections (University of Calabria) · Cited by 24
Metadata
- Authors
- Grosen, A., & Løchte Jørgensen, P.
- Venue
- Insurance: Mathematics and Economics
- Publisher
- Elsevier BV
- Published
- 2000-02
- Volume
- 26
- Issue
- 1
- Pages
- 37-57
- ISSN
- 0167-6687 (ISSN-L)
- OpenAlex
- W3123770653
- Cited by
- 398
- References
- 18
- FWCI
- 25.94
- Type
- journal article
- Language
- en
- Open access
- green
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- The paper
- Grosen, A., & Løchte Jørgensen, P. (2000). Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics. https://doi.org/10.1016/s0167-6687(99)00041-4
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.