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Dynamic balance sheet model with liquidity risk
Hałaj, Grzegorz - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-37
Persistent link: https://www.econbiz.de/10011568790
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Efficient hedging for defaultable securities and its application to equity-linked life insurance contracts
Melʹnikov, Aleksandr V.; Nosrati, Amir - In: International journal of theoretical and applied finance 18 (2015) 7, pp. 1-28
Persistent link: https://www.econbiz.de/10011404363
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Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment
Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10009624488
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Worst-case portfolio optimization in a market with bubbles
Belak, Christoph; Christensen, Sören; Menkens, Olaf - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-36
Persistent link: https://www.econbiz.de/10011454368
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Defaultable term structures driven by semimartingales
Gümbel, Sandrine; Schmidt, Thorsten - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-27
Persistent link: https://www.econbiz.de/10012807871
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A model for the optimal asset-liability management for insurance companies
Sbaraglia, S.; Papi, M.; Briani, M.; Bernaschi, M. - In: International journal of theoretical and applied finance 6 (2003) 3, pp. 277-299
Persistent link: https://www.econbiz.de/10001769196
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Pricing participating policies with rate guarantees
Chu, Chi Chiu; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 517-532
Persistent link: https://www.econbiz.de/10003347385
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Utility indifference pricing of interest-rate guarantees
Benth, Fred Espen; Proske, Frank - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 63-82
Persistent link: https://www.econbiz.de/10003847563
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Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
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Efficient hedging and pricing of equity-linked life insurance contracts on several risky assets
Melʹnikov, Aleksandr V.; Romanyuk, Yuliya - In: International journal of theoretical and applied finance 11 (2008) 3, pp. 295-323
Persistent link: https://www.econbiz.de/10003733149