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Long-term behavior of stochastic interest rate models with Markov switching
Zhang, Zhenzhong; Tong, Jinying; Hu, Lingjian - In: Insurance / Mathematics & economics 70 (2016), pp. 320-326
Persistent link: https://www.econbiz.de/10011597312
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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
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Long-term behavior of stochastic interest rate models with jumps and memory
Bao, Jianhai; Yuan, Chenggui - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 266-272
Persistent link: https://www.econbiz.de/10009785395
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The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
Deelstra, Griselda; Grasselli, Martino; Van Weverberg, … - In: Insurance / Mathematics & economics 71 (2016), pp. 205-219
Persistent link: https://www.econbiz.de/10011630651
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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
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Optimal bond portfolios with fixed time to maturity
Andersson, Patrik; Lagerås, Andreas N. - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 429-438
Persistent link: https://www.econbiz.de/10010195912
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Pricing currency derivatives with Markov-modulated Lévy dynamics
Sviščuk, Anatolij; Tertychnyi, Maksym; Elliott, Robert J. - In: Insurance / Mathematics & economics 57 (2014), pp. 67-76
Persistent link: https://www.econbiz.de/10010402730
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Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter - In: Insurance / Mathematics & economics 72 (2017), pp. 138-147
Persistent link: https://www.econbiz.de/10011694412
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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
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Stochastic differential game, Esscher transform and general equilibrium under a Markovian regime-switching Lévy model
Shen, Yang; Siu, Tak Kuen - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 757-768
Persistent link: https://www.econbiz.de/10010227881