Life insurance products have profit sharing features in combination with guarantees. These so-called embedded options are often dependent on or approximated by forward swap rates. In practice, these kinds of options are mostly valued by Monte Carlo simulations. However, for risk management...

The last decennium a vast literature on stochastic mortality models has been developed. All well known models have nice features but also disadvantages. In this paper a stochastic mortality model is proposed that aims at combining the nice features from existing models, while eliminating the...

The last decennium a vast literature on stochastic mortality models has been developed. However, these models are often not directly applicable to insurance portfolios because: a) For insurers and pension funds it is more relevant to model mortality rates measured in insured amounts instead of...

Life insurance products have profit sharing features in combination with guarantees. These so-called embedded options are often dependent on or approximated by forward swap rates. In practice, these kinds of options are mostly valued by Monte Carlo simulations. However, for risk management...