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Market pricing of longevity-linked securities
Tang, Sixian; Li, Jackie - In: Scandinavian actuarial journal 2021 (2021) 5, pp. 408-436
Persistent link: https://www.econbiz.de/10012588320
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Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
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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
discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal …
Persistent link: https://www.econbiz.de/10011507624
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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
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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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Analytic valuation of GMDB options with utility based asset allocation
Ulm, Eric R. - In: Scandinavian actuarial journal 2022 (2022) 9, pp. 816-840
Persistent link: https://www.econbiz.de/10013419050
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Optimality of payoffs in Lévy models
Hammerstein, Ernst August v.; Lütkebohmert-Holtz, Eva; … - In: International journal of theoretical and applied finance 17 (2014) 6, pp. 1-46
Persistent link: https://www.econbiz.de/10010438495
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An explicit option-based strategy that outperforms dollar cost averaging
Vanduffel, Steven; Ahcan, Ales; Henrard, Luc; Maj, Mateusz - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-19
Persistent link: https://www.econbiz.de/10009624518
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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model
Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...
Persistent link: https://www.econbiz.de/10012484861
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In search of preference shock risks : Evidence from longevity risks and momentum profits
Chen, Zhanhui; Yang, Bowen - In: Journal of financial economics 133 (2019) 1, pp. 225-249
Persistent link: https://www.econbiz.de/10012164076