Dijk, Marcel T. P. van; Graaf, Cornelis S. L. de; … - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-23
Insurance companies issue guarantees that need to be valued according to the market expectations. By calibrating option … values of these guarantees. Next to that, new regulations require insurance companies to value their positions on a one …