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~person:"De Waegenaere, Anja"
~person:"Delong, Łukasz"
~person:"Regis, Luca"
~subject:"Effizienz"
~subject:"Portfolio selection"
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Search: subject:"Lebensversicherung"
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Effizienz
Portfolio selection
Lebensversicherung
15
Life insurance
15
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12
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12
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12
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12
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De Waegenaere, Anja
Delong, Łukasz
Regis, Luca
Gatzert, Nadine
16
Schmeiser, Hato
8
Hieber, Peter
7
Melʹnikov, Aleksandr V.
7
Chen, An
6
Gan, Guojun
6
Maurer, Raimond
6
Shevchenko, Pavel V.
6
Chodorow-Reich, Gabriel
5
Dhaene, Jan
5
Haddad, Valentin
5
Kwak, Minsuk
5
Luo, Xiaolin
5
Barigou, Karim
4
Ghent, Andra C.
4
Glazyrina, Anna
4
Gründl, Helmut
4
Hoermann, Gudrun
4
Horneff, Wolfram J.
4
Kümmerle, Ruth
4
Mahayni, Antje
4
Pitacco, Ermanno
4
Rogalla, Ralph
4
Rudolf, Markus
4
Ruß, Jochen
4
Sherris, Michael
4
Stevens, Ralph
4
Aase, Knut K.
3
Albrecht, Peter
3
Birouk, Omar
3
Bohnert, Alexander
3
Bouloux, Alain-Nicolas
3
Costabile, Massimo
3
Davis, E. Philip
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Feng, Runhuan
3
Fergusson, Kevin
3
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Insurance / Mathematics & economics
2
ASTIN bulletin : the journal of the International Actuarial Association
1
Astin bulletin : the journal of the International Actuarial Association
1
Bank i kredyt
1
CentER Discussion Paper Series
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De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
1
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ECONIS (ZBW)
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1
Geographical Diversification and Longevity Risk Mitigation in Annuity Portfolios
De Rosa, Clemente
-
2019
This paper provides a method to assess the risk relief deriving from a foreign expansion by a life-insurance company. We build a parsimonious continuous-time model for longevity risk, that captures the dependence across different ages in domestic versus foreign populations. We provide three...
Persistent link: https://www.econbiz.de/10012857938
Saved in:
2
Geographical diversification and longevity risk mitigation in annuity portfolios
De Rosa, Clemente
;
Luciano, Elisa
;
Regis, Luca
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 375-410
Persistent link: https://www.econbiz.de/10012523250
Saved in:
3
Special issue "Actuarial and financial risks in life insurance, pensions and household finance"
Regis, Luca
- In:
Risks : open access journal
5
(
2017
)
4
,
pp. 1-2
Persistent link: https://www.econbiz.de/10011783050
Saved in:
4
Fair valuation of insurance liability cash-flow streams in continuous time : theory
Delong, Łukasz
;
Dhaene, Jan
;
Barigou, Karim
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 196-208
Persistent link: https://www.econbiz.de/10012105568
Saved in:
5
Fair valuation of insurance liability cash-flow streams in continuous time : applications
Delong, Łukasz
;
Dhaene, Jan
;
Barigou, Karim
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
2
,
pp. 299-333
Persistent link: https://www.econbiz.de/10012056592
Saved in:
6
Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk
Stevens, Ralph
-
2011
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...
Persistent link: https://www.econbiz.de/10013127855
Saved in:
7
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
Luciano, Elisa
;
Regis, Luca
- In:
Insurance / Mathematics & economics
55
(
2014
),
pp. 68-77
Persistent link: https://www.econbiz.de/10010366205
Saved in:
8
Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz
- In:
Bank i kredyt
42
(
2011
)
1
,
pp. 49-78
Persistent link: https://www.econbiz.de/10008906090
Saved in:
9
Longevity risk and natural hedge potential in portfolios of life insurance products : the effect of investment risk
Stevens, Ralph
;
De Waegenaere, Anja
;
Melenberg, Bertrand
-
2011
Persistent link: https://www.econbiz.de/10008988371
Saved in:
10
Longevity risk
De Waegenaere, Anja
;
Melenberg, Bertrand
;
Stevens, Ralph
- In:
De economist : Netherlands economic review ; quarterly …
158
(
2010
)
2
,
pp. 151-192
Persistent link: https://www.econbiz.de/10009299705
Saved in:
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