Bauer, D., Kiesel, R., Kling, A. and Ruß, J. (2005) Risk neutral valuation of participating life insurance contracts. Insurance: Mathematics & Economics, 39
Black, F. and Cox, J.C. (1976) Valuing corporate securities: Some effects of bond indenture provisions. Journal of Finance, 31
Bohnert, A., Gatzert, N. and Jørgensen, P. (2015) On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes.
Insurance: Mathematics & Economics, 60, 83–97.
Brennan, M.J. and Schwartz, E.S. (1976) The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3
Chen, A. and Suchanecki, M. (2007) Default risk, bankruptcy procedures and the market value of life insurance liabilities.
Insurance: Mathematics and Economics, 40, 231–255.
Dong, M., Gründl, H. and Schlütter, S. (2015) Is the risk-based meachanism always better? The risk-shifting behavior of insurers under different guarantee schemes. Journal of Insurance Issues, 38
Døskeland, T.M. and Nordahl, H.A. (2008) Optimal pension insurance design.
Journal of Banking & Finance, 32, 382–392.
Filipović, D., Kremslehner, R. and Muermann, A. (2015) Optimal investment and premium policies under risk shifting and solvency regulation. Journal of Risk and Insurance, 82
Folks, J.L. and Chhikara, R.S. (1978) The inverse Gaussian distribution and its statistical application – a review. Journal of the Royal Statistical Society. Series B, 40
Gatzert, N. and Schmeiser, H. (2008) Combining fair pricing and capital requirements for non-life insurance companies. Journal of Banking & Finance, 32
Graf, S., Kling, A. and Ruß, J. (2011) Risk analysis and valuation of life insurance contracts: combining actuarial and financial approaches. Insurance: Mathematics & Economics, 49
Graf, S., Kling, A. and Ruß, J. (2012) Financial planning and risk-return profiles.
European Actuarial Journal
Grosen, J. and 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
He, H., Keirstead, W. and Rebholz, J. (1998) Double lookbacks. Mathematical Finance, 8
Hieber, P., Korn, R. and Scherer, M. (2015) Analyzing the effect of low interest rates on the surplus participation of life insurance policies with different annual interest rate guarantees. European Actuarial Journal, 5
Jørgensen, P.L. (2007) Traffic light options.
Journal of Banking & Finance, 31, 3698–3719.
MacMinn, R.D. and Witt, R.C. (1987) A financial theory of the insurance firm under uncertainty and regulatory constraints. Geneva Papers on Risk and Insurance, 12
McCabe, G.M. and Witt, R.C. (1980) Insurance pricing and regulation under uncertainty: A chance-constrained approach. Journal of Risk and Insurance, 47
Mohan, N. and Zhang, T. (2014) An analysis of risk-taking behavior for public defined benefit plans.
Journal of Banking & Finance, 40, 403–419.
Pézier, J. and Scheller, J. (2013) Best portfolio insurance for long-term investment strategies in realistic conditions.
Insurance: Mathematics & Economics, 52, 263–274.
Rauh, J.D. (2009) Risk shifting versus risk management: Investment policy in corporate pension plans. Review of Financial Studies, 22
Rees, R., Gravelle, H. and Wambach, A. (1999) Regulation of insurance markets.
Geneva Papers on Risk and Insurance Theory, 24, 55–68.
Schlütter, S. (2014) Capital requirements or pricing constraints? An economic analysis of measures for insurance regulation. Journal of Risk Finance, 15
Schmeiser, H. and Wagner, J. (2013) The impact of introducing insurance guaranty schemes on pricing and capital structure. Journal of Risk and Insurance, 80
Schmeiser, H. and Wagner, J. (2015) A proposal on how the regulator should set minimum interest rate guarantees in participating life insurance contracts. Journal of Risk and Insurance, 82
Shreve, S. (2004) Stochastic Calculus for Finance II. New York: Springer.