注意!! 以下为期中的PAPER分配~~ 4/18 1. 博士班学长 Bacinello, A.R., 2003（a）, Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option, Journal of Risk and Insurance, 70(3):461-487 Bacinello. A. R. 2003（b）,Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Options, North American Actuarial Journal 7 (3):1-17 4/25 目前还没有人报告 1. Lin, Y. and Cox, S.H., （2005）, Lin, Y., and Cox, S.H., 2005, Securitization of mortality risks in life annuities, Journal of Risk and Insurance, 72:227-252. S. H. Cox, Y. Lin, S. Wang (2006) Multivariate Exponential Tilting and Pricing Implications for Mortality Securitization, Journal of Risk and Insurance, 73(4), 719-736. 2. Denuit, Michel, Devolder, Pierre and Goderniaux, A-C.(2007) Securitization of Longevity Risk : Pricing Survivor Bonds with Wang Transform in the Lee-Carter Framework, Journal of Risk and Insurance, 74(1); 87-113. 5/2 1. 杨志伟组 Berketi, Alexandra K.,(1999), Insolvency risk and its impact on the policyholders’ investment choices：a mean-variance approach for participating life insurance business in UK , Insurance Mathematics and Economics , 2. 目前还没人选 Grosen, A., and P.L. Jorgensen, 1997, Valuation of Early Exercisable Interest Rate Guarantees, Journal of Risk and Insurance, 64:481-503. 5/16 1. 陈维祥组 Grosen, A., and P.L.Jorgensen, 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., and P.L.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. 请负责报告的组别记得把PPT寄给老师 老师的email:[email protected] --

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