- Büsing, C., 2005. Bewertung der Zinsgarantie in der Lebensversicherung, in: Bäuerle, Mundt (Eds.), Risikomanagement. VVW, Karlsruhe, pp. 2–36.
Paper not yet in RePEc: Add citation now
Bacinello, A.R., 2001. Fair pricing of life insurance participating policies with a minimum interest rate guarantee. ASTIN Bulletin 31, 275–297.
Bacinello, A.R., 2003. Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of Risk and Insurance 70, 461–487.
- Bacinello, A.R., Persson, S.A., 2002. Design and pricing of equity-linked life insurance under stochastic interest rates. Journal of Risk Finance 3, 6–21.
Paper not yet in RePEc: Add citation now
Barbarin, J., Devolder, P., 2005. Risk measure and fair valuation of an investment guarantee in life insurance. Insurance: Mathematics and Economics 37, 297–323.
- Bartels, H.J., VeselÄić, M., 2009. Zinsgarantien und Modellrisiko in Lebensversicherungen. Blätter DGVFM 30, 327–361.
Paper not yet in RePEc: Add citation now
Bauer, D., Kiesel, R., Kling, A., Ruß, J., 2006. Risk-neutral valuation of participating life insurance contracts. Insurance: Mathematics and Economics 39, 171–183.
- Brigo, D., Mercurio, F., 2006. Interest Rate Models – Theory and Practice. Springer, Berlin New York. 2nd edition.
Paper not yet in RePEc: Add citation now
- Briys, E., de Varenne, F., 1997. On the risk of life insurance liabilities: Debunking some common pitfalls. Journal of Risk and Insurance 64, 673–694.
Paper not yet in RePEc: Add citation now
Broeders, D., Chen, A., Koos, B., 2011. A utility-based comparion of pension funds and life insurance companies under regulatory constraints. Insurance: Mathematics and Economics 49, 1–10.
- Cairns, A.J.G., 2004. A family of term structure models for long-term risk management and derivative pricing. Mathematical Finance 14, 415–444.
Paper not yet in RePEc: Add citation now
Cappiello, L., Lo Duca, M., Maddaloni, A., 2008. Country and industry equity risk premia in the euro area: An intertemporal approach. European Central Bank Working Paper Series No. 916. European Central Bank.
Cox, J.C., Ingersoll, J.E., Ross, S.A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385–407.
- Cummins, J.D., Miltersen, K.R., Persson, S.A., 2007. International comparison of interest rate guarantees in life insurance contracts. Working Paper. Norwegian School of Economics and Business Administration, Bergen.
Paper not yet in RePEc: Add citation now
Eling, M., Holder, S., 2012. Maximum technical interest rates in life insurance in Europe and the United States: An overview and comparison. Geneva Papers on Risk and Insurance – Issues and Practice, Forthcoming.
- Fromme, H., 2011. Versicherer wollen Hilfe aus Berlin. Financial Times Deutschland September 16, 2011.
Paper not yet in RePEc: Add citation now
- Gatzert, N., Kling, A., 2007. Analysis of participating life insurance contracts: A uniï¬cation approach. Journal of Risk and Insurance 74, 547–570.
Paper not yet in RePEc: Add citation now
- Goecke, O., 2011. Das Markenzeichen der Lebensversicherung steht auf dem Spiel. Versicherungswirtschaft 66, 30–33.
Paper not yet in RePEc: Add citation now
Graf, S., Kling, A., Ruß, J., 2011. Risk analysis and valuation of life insurance contracts: Combining actuarial and ï¬nancial approaches. Insurance: Mathematics and Economics 49, 115–125.
Grosen, A., Jørgensen, P.L., 2000. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options and bonus policies. Insurance: Mathematics and Economics 26, 37–57.
Grosen, A., Jørgensen, P.L., 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.
- Hansen, M., Miltersen, K.R., 2002. Minimum rate of return guarantees: The Danish case. Scandinavian Actuarial Journal 4, 280–318.
Paper not yet in RePEc: Add citation now
- Heinen, N., 2011. Lebensversicherungen zwischen Baum und Borke. Versicherungswirtschaft 66, 318–319.
Paper not yet in RePEc: Add citation now
- Himstedt, G., 2004. Protektor Lebensversicherungs-AG: Erfahrungen im Fall Mannheimer. VVW, Karlsruhe.
Paper not yet in RePEc: Add citation now
- Kling, A., Richter, A., Ruß, J., 2007a. The impact of surplus distribution on the risk exposure of with-proï¬t life insurance policies including interest rate guarantees. Journal of Risk and Insurance 74, 571–589.
Paper not yet in RePEc: Add citation now
- Kling, A., Richter, A., Ruß, J., 2007b. The interaction of guarantees, surplus distribution, and asset allocation in with-proï¬t life insurance policies. Insurance: Mathematics and Economics 40, 164–178.
Paper not yet in RePEc: Add citation now
Mullen, K.M., Ardia, D., Gil, D.L., Windover, D., Cline, J., 2011. DEoptim: An R package for global optimization by differential evolution. Journal of Statistical Software 40, 1–26.
- O’Brien, C., 2006. The downfall of Equitable Life in the United Kingdom: The mismatch of strategy and risk management. Risk Management and Insurance Review 9, 189–204.
Paper not yet in RePEc: Add citation now
- Pohl, E., 2011. Garantien sind gefährlich. Versicherungswirtschaft 66, 1769.
Paper not yet in RePEc: Add citation now
- Price, K., Storn, R., Lampinen, J., 2005. Differential Evolution: A Practical Approach to Global Optimization. Springer, Berlin New York.
Paper not yet in RePEc: Add citation now
- Rymaszewski, P.Z., 2011. Essays on Insurance Economics and the Regulation of Financial Markets. Ph.D. thesis. University of St. Gallen.
Paper not yet in RePEc: Add citation now
- Shreve, S.E., 2004. Stochastic Calculus for Finance II: Continuous-Time Models. Springer, New York.
Paper not yet in RePEc: Add citation now
- Storn, R., Price, K., 1997. Differential evolution – a simple and efficient heuristic for global optimization over continuous spaces. Journal of Global Optimization 11, 341–359.
Paper not yet in RePEc: Add citation now
- Suzuki, T., 2004. Fair Valuation of Japanese insured pension plans: The impact of default risk of insurance companies. Working Paper. Graduate School of Economics, Hokkaido University.
Paper not yet in RePEc: Add citation now
- van Laarhoven, P.J.M., Aarts, E.H.L., 1987. Simulated Annealing: Theory and Applications. Reidel Kluwer Academic Publishers, Dordrecht.
Paper not yet in RePEc: Add citation now
- Wagner, J., Schmeiser, H., 2012. The influence of interest rate guarantees and solvency requirements on the asset allocation of life insurance companies. Working Papers on Risk Management and Insurance No. 111. University of St. Gallen.
Paper not yet in RePEc: Add citation now
Zaglauer, K., Bauer, D., 2008. Risk-neutral valuation of participating life insurance in a stochastic interest rate environment. Insurance: Mathematics and Economics 43, 29–40.
Zemp, A., 2011. Risk comparison of different bonus distribution approaches in participating life insurance. Insurance: Mathematics and Economics 49, 249–264.