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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims

Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87

Persistent link: https://www.econbiz.de/10010385027

Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return

Li, Jinzhu - In: Insurance / Mathematics & economics 71 (2016), pp. 195-204

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Participating life insurance products with alternative guarantees : reconciling policyholders' and insurers' interests

Reuß, Andreas; Ruß, Jochen; Wieland, Jochen - In: Risks : open access journal 4 (2016) 2, pp. 1-18

-consistent valuation framework. In addition, such guarantees lead to rather high capital requirements under risk-based solvency frameworks … more stable profits and reduced capital requirements. As a result, the financial risk for the insurer is significantly … rate for the different product designs that lead to an identical expected profit for the insurer (and identical risk …

Persistent link: https://www.econbiz.de/10011507240

Return on risk-adjusted capital under solvency II : implications for the asset management of insurance companies

Braun, Alexander; Schmeiser, Hato; Schreiber, Florian - In: The Geneva papers on risk and insurance - issues and … 43 (2018) 3, pp. 456-472

Persistent link: https://www.econbiz.de/10012256216

Singapore's life program : actuarial framework, longevity risk and impact of annuity fund return

Kwong, Koon-Shing; Tse, Yiu Kuen; Chan, Wai-Sum - In: The Singapore economic review : journal of the Economic … 66 (2021) 5, pp. 1355-1371

Persistent link: https://www.econbiz.de/10012664102

Ruin in a continuous-time risk model with arbitrarily dependent insurance and financial risks triggered by systematic factors

Yang Yang; Fan, Yahui; Yuen, Kam Chuen - In: Scandinavian actuarial journal 2024 (2024) 4, pp. 361-382

Persistent link: https://www.econbiz.de/10014520551

Analysis of survivorship life insurance portfolios with stochastic rates of return

Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31

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On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134

Persistent link: https://www.econbiz.de/10010497110

Verifying capital asset pricing model in Greek capital market

Khudoykulov, Khurshid - In: International journal of economics and accounting : IJEA 7 (2016) 1, pp. 55-65

Persistent link: https://www.econbiz.de/10011636109

How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR

Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407

Persistent link: https://www.econbiz.de/10012194794