The purpose of this paper is to analyze the problem of the fair valuation of annuities contracts. The market consistent valuation of these products requires a pricing framework which includes the two main sources of risk affecting the value of the annuity, i.e. interest rate risk and mortality...

In this communication, we review the fair value - based accounting framework promoted by the IASB Insurance Project for the case of a life insurance company. In particular, by means of a simple participating contract with minimum guarantee, we compare the fair value approach with the...

The purpose of this paper is to develop suitable valuation techniques for the broad category of participating life insurance policies. The nature of the liability implied by these contracts allows treating them as options written on the reference portfolio backing the policy. Consequently, our...

In this note we introduce a theoretical model for the pricing and valuation of guaranteed annuity conversion options associated with certain deferred annuity pension-type contracts in the UK.The valuation approach is based on the similarity between the payoff structure of the contract and a call...

This paper proposes an asset allocation strategy for the risk management of the broad category of participating life insurance policies. The nature of the liability implied by these contracts allows us to treat them as options written on the reference portfolio backing the policy; consequently,...