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On accounting standards and fair valuation of life insurance and pension liabilities

https://doi.org/10.1080/03461230410000556
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Scandinavian Actuarial Journal
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University of Copenhagen
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Options, Futures and Other Derivatives
inferredcites →https://doi.org/10.1007/978-1-4615-5045-7openalex-snapshot
Changes in the Life Insurance Industry: Efficiency, Technology and Risk Management
inferredcites →https://doi.org/10.1007/978-1-4615-5045-7_8openalex-snapshot
Toward a Unified Valuation Model for Life Insurers
inferredcites →https://doi.org/10.1007/978-1-4757-6732-2openalex-snapshot
The Fair Value of Insurance Liabilities
inferredcites →https://doi.org/10.1007/978-1-4757-6732-2_2openalex-snapshot
Comparison of methods for fair-value life insurance liabilities
inferredcites →https://doi.org/10.1007/bf00949050openalex-snapshot
Exotic Unit-Linked Life Insurance Contracts
inferredcites →https://doi.org/10.1007/bf01112014openalex-snapshot
Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications
inferredcites →https://doi.org/10.1007/bf01125816openalex-snapshot
Aspects of Insurance, Intermediation and Finance*
inferredcites →https://doi.org/10.1016/0167-6687(93)90236-iopenalex-snapshot
Pricing equity-linked life insurance with endogenous minimum guarantees
inferredcites →https://doi.org/10.1016/0167-6687(95)00007-fopenalex-snapshot
Equity-linked life insurance: A model with stochastic interest rates
inferredcites →https://doi.org/10.1016/0304-405x(76)90003-9openalex-snapshot
The pricing of equity-linked life insurance policies with an asset value guarantee
inferredcites →https://doi.org/10.1016/0378-4266(82)90040-1openalex-snapshot
Principles of corporate finance
inferredcites →https://doi.org/10.1016/j.insmatheco.2003.08.003openalex-snapshot
Fair valuation of path-dependent participating life insurance contracts
inferredcites →https://doi.org/10.1016/j.insmatheco.2005.06.014openalex-snapshot
Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
inferredcites →https://doi.org/10.1016/s0167-6687(00)00048-2openalex-snapshot
A no arbitrage approach to Thiele’s differential equation
inferredcites →https://doi.org/10.1016/s0167-6687(01)00093-2openalex-snapshot
Mortality derivatives and the option to annuitise
inferredcites →https://doi.org/10.1016/s0167-6687(02)00127-0openalex-snapshot
Intervention options in life insurance
inferredcites →https://doi.org/10.1016/s0167-6687(03)00146-xopenalex-snapshot
Valuation of guaranteed annuity conversion options
inferredcites →https://doi.org/10.1016/s0167-6687(99)00020-7openalex-snapshot
Pricing rate of return guarantees in a Heath–Jarrow–Morton framework
inferredcites →https://doi.org/10.1016/s0167-6687(99)00041-4openalex-snapshot
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
inferredcites →https://doi.org/10.1017/s0515036100013404openalex-snapshot
Guaranteed Annuity Options
inferredcites →https://doi.org/10.1023/a:1011264408187openalex-snapshot
A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities
inferredcites →https://doi.org/10.1057/palgrave.pm.5940265openalex-snapshot
Pensions in crisis
inferredcites →https://doi.org/10.1080/03461230110106336openalex-snapshot
An Actuarial Analysis of Participating Life Insurance
inferredcites →https://doi.org/10.1080/03461230110106417openalex-snapshot
Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
inferredcites →https://doi.org/10.1080/03461230110106480openalex-snapshot
Valuation of Participating Life Insurance Liabilities
inferredcites →https://doi.org/10.1080/03461230308492openalex-snapshot
An Actuarial Analysis of Participating Life Insurance
inferredcites →https://doi.org/10.1080/03461238.1994.10413928openalex-snapshot
Pricing of Unit-linked Life Insurance Policies
inferredcites →https://doi.org/10.1080/10920277.1998.10595716openalex-snapshot
Economic Valuation Models for Insurers
inferredcites →https://doi.org/10.1080/10920277.2001.10595986openalex-snapshot
Hedging Equity-Linked Life Insurance Contracts
inferredcites →https://doi.org/10.1086/260062openalex-snapshot
The Pricing of Options and Corporate Liabilities
inferredcites →https://doi.org/10.1086/296034openalex-snapshot
Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee
inferredcites →https://doi.org/10.1111/1539-6975.00005openalex-snapshot
Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework
inferredcites →https://doi.org/10.1142/9789812701022_0008openalex-snapshot
Theory of rational option pricing
inferredcites →https://doi.org/10.1142/9789814759588_0002openalex-snapshot
Theory of Rational Option Pricing
inferredcites →https://doi.org/10.1515/9781400829477openalex-snapshot
Triumph of the Optimists
inferredcites →https://doi.org/10.2307/2328875openalex-snapshot
Continuous-Time Finance.
inferredcites →https://doi.org/10.2307/251725openalex-snapshot
Equilibrium Prices of Guarantees under Equity-Linked Contracts
inferredcites →https://doi.org/10.2307/252760openalex-snapshot
The Life Insurance Policy as an Options Package
inferredcites →https://doi.org/10.2307/253761openalex-snapshot
Valuation of Early Exercisable Interest Rate Guarantees
inferredcites →https://doi.org/10.2307/253888openalex-snapshot
Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products
inferredcites →https://doi.org/10.2307/253891openalex-snapshot
On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls
inferredcites →https://doi.org/10.5860/choice.40-4724openalex-snapshot
Triumph of the optimists: 101 years of global investment returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Lapse Rate Modeling: A Rational Expectation Approach
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Fair Value of Insurance Liabilities
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Real World Pricing of Long Term Contracts
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Accounting and Actuarial Smoothing of Retirement Payouts in Participating Life Annuities
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An Analysis of the Solvency II Regulatory Framework's Smith-Wilson Model for the Term Structure of Risk-Free Interest Rates
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Fair Value of Insurance Liabilities
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Fair Value of Insurance Liabilities
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Remarks on Insured Loan Valuations
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Implicit Options in Life Insurance: Valuation and Risk Management
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A market-consistent framework for the fair evaluation of insurance contracts under Solvency II
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Return smoothing in pooled annuity products
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Implicit options in life insurance: An overview
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Participating life insurance contracts under Solvency II: inheritance effects and allowance for a Going Concern Reserve
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On the regulator–insurer interaction in a structural model
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Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims
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The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case
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The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements
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A general asset–liability management model for the efficient simulation of portfolios of life insurance policies
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Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
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Accounting and actuarial smoothing of retirement payouts in participating life annuities
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Valuation of longevity-linked life annuities
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Traffic light options
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An analysis of the Solvency II regulatory framework’s Smith-Wilson model for the term structure of risk-free interest rates
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A Natural Hedge for Equity Indexed Annuities
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A comparison of three different pension savings products with special emphasis on the payout phase
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Life insurer performance under the bailout of distressed asset purchases
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Surplus-linked life insurance
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A two-account model of pension saving contracts
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Lapse rate modeling: a rational expectation approach
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On Risk Charges and Shadow Account Options in Pension Funds
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Optimal Portfolio Choice in Retirement With Participating Life Annuities
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Accounting-Based Asset Return Smoothing in Participating Life Annuities: Implications for Annuitants, Insurers, and Policymakers
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Financial implications of accounting for human resources using a liability model
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Sunflower management and life insurance: modeling the CEO’s utility function
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Implications of IFRS for the European Insurance Industry—Insights From Capital Market Theory
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