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A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
Peters, Gareth W.; Dong, Alice X. D.; Kohn, Robert - In: Insurance / Mathematics & economics 59 (2014), pp. 258-278
Persistent link: https://www.econbiz.de/10010470006
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Modeling dependence dynamics through copulas with regime switching
Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A.; … - In: Insurance / Mathematics & economics 50 (2012) 3, pp. 346-356
Persistent link: https://www.econbiz.de/10009544168
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Copula-based Markov process
Fang, Jun; Jiang, Fan; Liu, Yong; Yang, Jingping - In: Insurance / Mathematics & economics 91 (2020), pp. 166-187
Persistent link: https://www.econbiz.de/10012242005
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Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33
Persistent link: https://www.econbiz.de/10010437640
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A hidden Markov regime-switching model for option valuation
Liew, Chuin Ching; Siu, Tak Kuen - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 374-384
Persistent link: https://www.econbiz.de/10008747009
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Pricing annuity guarantees under a double regime-switching model
Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
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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
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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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Option pricing in regime-switching frameworks with the Extended Girsanov Principle
Godin, Frédéric; Trottier, Denis-Alexandre - In: Insurance / Mathematics & economics 99 (2021), pp. 116-129
Persistent link: https://www.econbiz.de/10012649213
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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