Narrow search
Showing 1 - 10 of 14,840
Cover Image
Valuation of finance/insurance contracts : efficient hedging and stochastic interest rates modeling
Melnikov, Alexander; Tong, Shuo - In: Risk and decision analysis 5 (2014) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10010492598
Cover Image
Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
Cover Image
Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy
Gao, Quansheng; He, Ting; Zhang, Chi - In: Economic modelling 28 (2011) 1/2, pp. 147-156
Persistent link: https://www.econbiz.de/10009270040
Cover Image
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Shevchenko, Pavel V.; Luo, Xiaolin - In: Insurance / Mathematics & economics 76 (2017), pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
Cover Image
Quantile hedging in models with dividends and application to equity-linked life insurance contracts
Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Mathematics and financial economics 14 (2020) 2, pp. 207-224
Persistent link: https://www.econbiz.de/10012240110
Cover Image
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
Cover Image
Uniqueness of the fair premium for equity-linked life insurance contracts
Nielsen, J. Aase; Sandmann, Klaus - 1996
Persistent link: https://www.econbiz.de/10000624011
Cover Image
Uniqueness of the fair premium for equity-linked life insurance contracts
Aase Nielsen, Jørgen - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 65-102
Persistent link: https://www.econbiz.de/10001334891
Cover Image
Risk management of interest rate derivative portfolios : a stochastic control approach
Kiriakopoulos, Konstantinos; Koulis, Alexandros - In: Journal of risk and financial management : JRFM 7 (2014) 4, pp. 130-149
In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic portfolio optimization problem. The utility that we use can be any continuous function and based on the viscosity theory, the unique solution of the problem is guaranteed. The...
Persistent link: https://www.econbiz.de/10011552973
Cover Image
Quantile hedging on equity-linked life insurance contracts with transaction costs
Melʹnikov, Aleksandr V.; Tong, Shuo - In: Insurance / Mathematics & economics 58 (2014), pp. 77-88
Persistent link: https://www.econbiz.de/10010437626