Printer Friendly

12030400 Life insurance.

M. Albizzati and H. Geman, 1994, "Interest-Rate Risk Management and Valuation of the Surrender Option in Life-Insurance Policies", Journal of Risk and Insurance, 61:616-637

A. Bacinello and F. Ortu, 1993, "Pricing Equity-Linked Life-Insurance with Endogenous Minimum Guarantees", Insurance Mathematics and Economics, 12:245-257

E. Brewer and T. Mondschean, 1993, "Life-Insurance Company Risk Exposure--Market Evidence and Policy Implications", Contemporary Policy Issues, 11:56-69

E. Briys and F. Devarene, 1994, "Life-Insurance in a Contingent Claim Framework--Pricing and Regulatory Implications", Geneva Papers On Risk and Insurance Theory, 19:53-72

S. Ekern and S. Persson, 1996, "Exotic Unit-Linked Life-Insurance Contracts", Geneva Papers On Risk and Insurance Theory, 21:35-63

A. Grosen and P. Jorgensen, 2000, "Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrrender Options and Bonus Policies", Insurance Mathematics and Economics, 26:37-57

A. Grosen and P. Jorgensen, 2002, "Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework", Journal of Risk and Insurance, 69:63-91

I. Shaked, 1985, "Measuring Prospective Probabilities of Insolvency--An Application to the Life-Insurance Industry", Journal of Risk and Insurance, 52:59-80

B. Wells, L. Cox and K. Gaver, 1995, "Free Cash Flow in the Life-Insurance Industry", Journal of Risk and Insurance, 62:50-66

Terence Lim (1), Andrew W. Lo (2), Robert C. Merton (3) and Myron S. Scholes (4)

(1) Goldman Sachs Asset Management, 32 Old Slip, New York, NY 10005, terence.lim@gs.com

(2) MIT Sloan School of Management, Cambridge, MA 02142, alo@mit.edu

(3) Graduate School of Business Administration, Harvard University, Boston, MA 02163, merton@hbs.edu

(4) Stanford University and Oak Hill Platinum Partners, Rye Brook, NY 10573, mscholes@ohpp.com

COPYRIGHT 2005 Now Publishers, Inc.
No portion of this article can be reproduced without the express written permission from the copyright holder.
Copyright 2005 Gale, Cengage Learning. All rights reserved.

Article Details
Printer friendly Cite/link Email Feedback
Title Annotation:5: Citations
Author:Lim, Terence; Lo, Andrew W.; Merton, Robert C.; Scholes, Myron S.
Publication:Foundations and Trends in Finance
Article Type:Brief article
Date:Sep 1, 2005
Words:285
Previous Article:12030300 Portfolio insurance.
Next Article:12030500 Re-insurance.
Topics:

Terms of use | Privacy policy | Copyright © 2019 Farlex, Inc. | Feedback | For webmasters