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Risk analysis of annuity conversion options in a stochastic mortality environment
Kling, Alexander; Ruß, Jochen; Schilling, Katja - In: Astin bulletin : the journal of the International … 44 (2014) 2, pp. 197-236
Persistent link: https://www.econbiz.de/10010393961
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Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...
Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518
Persistent link: https://www.econbiz.de/10012194671
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Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr; Yang, Sharon S.; Liu, Liang-Chih - In: Insurance / Mathematics & economics 64 (2015), pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
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Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach
Devolder, Pierre; Russo, Emilio; Staino, Alessandro - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 385-409
Persistent link: https://www.econbiz.de/10015055294
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Risk-neutral valuation of GLWB riders in variable annuities
Maggistro, Rosario; Zoccolan, Ivan - In: Insurance : mathematics and economics 114 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015049347
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Model risk in mortality-linked contingent claims pricing
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
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The pricing of hedging longevity risk the help of annuity securitizations : an application to the German market
Lorson, Jonas; Wagner, Joël - In: Journal of risk finance : the convergence of financial … 15 (2014) 4, pp. 385-416
Persistent link: https://www.econbiz.de/10010429743
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The fair premium of an equity-linked life and pension insurance
Aase Nielsen, Jørgen; Sandmann, Klaus - In: Advances in finance and stochastics : essays in honour …, (pp. 219-255). 2002
Persistent link: https://www.econbiz.de/10001672238
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Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits
Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73
Persistent link: https://www.econbiz.de/10011990615
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A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31
In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in … discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal … of variable annuity guarantees to assess the accuracy of their numerical implementation. …
Persistent link: https://www.econbiz.de/10011507624