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Bachelier model with stopping time and its insurance application
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Insurance / Mathematics & economics 93 (2020), pp. 156-167
Persistent link: https://www.econbiz.de/10012294092
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Retrieval of Black-Scholes and generalized Erlang models by perturbed observations at a fixed time
Neuenschwander, Daniel - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 453-458
Persistent link: https://www.econbiz.de/10003682579
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Lookback options and dynamic fund protection under multiscale stochastic volatility
Wong, Hoi Ying; Chan, Chun Man - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 357-385
Persistent link: https://www.econbiz.de/10003755752
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The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees
Kleinow, Torsten; Willder, Mark - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 445-458
Persistent link: https://www.econbiz.de/10003755768
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Optimal pricing for a heterogeneous portfolio for a given risk factor and convex distance measure
Frostig, Esther; Zaks, Yaniv; Levikson, Benny - In: Insurance / Mathematics & economics 40 (2007) 3, pp. 459-467
Persistent link: https://www.econbiz.de/10003755773
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Prices and sensitivities of Asian options : a survey
Boyle, Phelim P.; Potapchik, Alexander - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10003682191
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Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
Chi, Yichun - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 385-396
Persistent link: https://www.econbiz.de/10003966601
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Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee
Nteukam T., Oberlain; Planchet, Frédéric; Thérond, … - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 161-175
Persistent link: https://www.econbiz.de/10008989359
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Lévy risk model with two-sided jumps and a barrier dividend strategy
Bo, Lijun; Song, Renming; Tang, DanLing; Wang, Yongjin; … - In: Insurance / Mathematics & economics 50 (2012) 2, pp. 280-291
Persistent link: https://www.econbiz.de/10009507927
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Modeling mortality and pricing life annuities with Lévy processes
Ahmadi, Seyed Saeed; Gaillardetz, Patrice - In: Insurance / Mathematics & economics 64 (2015), pp. 337-350
Persistent link: https://www.econbiz.de/10011398092