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The volatility of mortality
Bauer, Daniel; Börger, Matthias; Ruß, Jochen; … - 2008
Persistent link: https://www.econbiz.de/10003638564
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Essays on business cycle analysis and demography
Sarferaz, Samad - 2009
Persistent link: https://www.econbiz.de/10008811071
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A longevity basis risk analysis in a joint FDM framework
D'Amato, Valeria; Coppola, Mariarosaria; Levantesi, Susanna - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 55-75
Persistent link: https://www.econbiz.de/10011653711
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A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting
Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389
Persistent link: https://www.econbiz.de/10011820669
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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
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A managed volatility investment strategy for pooled annuity products
Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30
Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …
Persistent link: https://www.econbiz.de/10013363078
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An insurance risk model with stochastic volatility
Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 52-66
Persistent link: https://www.econbiz.de/10003953303
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Valuation and hedging of the ruin-contingent life annuity (RCLA)
Huang, H.; Milevsky, Moshe Arye; Salisbury, T. S. - In: The journal of risk and insurance : the journal of the … 81 (2014) 2, pp. 367-395
Persistent link: https://www.econbiz.de/10010373207
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Pricing of catastrophe risk and the implied volatility smile
Ben Ammar, Semir - In: Essays on alternative investments and insurance, (pp. 117-176). 2016
Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente (Aktien, Fonds und Optionen) wird die Bilanz eines...
Persistent link: https://www.econbiz.de/10011540169
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ETF Risk Models
Kakushadze, Zura; Yu, Willie - 2021
We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk...
Persistent link: https://www.econbiz.de/10013213003