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~isPartOf:"Insurance / Mathematics & economics"
~subject:"VAR model"
~subject:"Volatility"
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Search: subject_exact:"Stochastic volatility"
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VAR model
Volatility
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Insurance / Mathematics & economics
International journal of theoretical and applied finance
42
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ECONIS (ZBW)
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1
Robust optimal reinsurance and investment strategies for an AAI with multiple risks
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 63-78
Persistent link: https://www.econbiz.de/10012133510
Saved in:
2
Derivatives trading for insurers
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10011990431
Saved in:
3
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Wang, Hao
;
Wang, Rongming
;
Wei, Jiaqin
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 104-114
Persistent link: https://www.econbiz.de/10011990618
Saved in:
4
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Li, Danping
;
Shen, Yang
;
Zeng, Yan
- In:
Insurance / Mathematics & economics
78
(
2018
),
pp. 72-86
Persistent link: https://www.econbiz.de/10011825217
Saved in:
5
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
Kang, Boda
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 43-56
Persistent link: https://www.econbiz.de/10011825347
Saved in:
6
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Wang, Pei
;
Li, Zhongfei
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 67-83
Persistent link: https://www.econbiz.de/10011872914
Saved in:
7
Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
Saved in:
8
Valuing inflation-linked death benefits under a stochastic volatility framework
Liang, Zongxia
;
Sheng, Wenlong
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 45-58
Persistent link: https://www.econbiz.de/10011530922
Saved in:
9
Pricing and hedging GLWB in the Heston and in the Black-Scholes with stochastic interest rate models
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonio
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 38-57
Persistent link: https://www.econbiz.de/10011597137
Saved in:
10
Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui
;
Liang, Zongxia
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 58-66
Persistent link: https://www.econbiz.de/10010402734
Saved in:
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