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The uncertain mortality intensity framework : pricing and hedging unit-linked life insurance contracts

Li, Jing; Szimayer, Alexander - 2010

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

Persistent link: https://www.econbiz.de/10003987820

Repeat sales indexes : estimation without assuming that errors in asset returns are independently distributed

Campbell, Rachel; Graddy, Kathryn; Hamilton, Jonathan H. - 2009

Persistent link: https://www.econbiz.de/10003875430

The index premium and its hidden cost for index funds

Petajisto, Antti - In: Journal of empirical finance 18 (2011) 2, pp. 271-288

Persistent link: https://www.econbiz.de/10009301120

Optimal monetary policy with endogenous entry and product variety

Bilbiie, Florin Ovidiu; Fujiwara, Ippei; Ghironi, Fabio - 2011

Persistent link: https://www.econbiz.de/10009377389

Debt management and optimal fiscal policy with long bonds

Faraglia, Elisa; Marcet, Albert; Scott, Andrew - In: Threat of fiscal dominance? : a BIS/OECD workshop on …, (pp. 177-212). 2012

Persistent link: https://www.econbiz.de/10009553767

Sovereign debt management and fiscal vulnerabilities

Missale, Alessandro - In: Threat of fiscal dominance? : a BIS/OECD workshop on …, (pp. 157-176). 2012

Persistent link: https://www.econbiz.de/10009553768

Economic stability and the choice of the target inflation index

Flamini, Alessandro - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 16 (2012) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009521613

The bond premium in a DSGE model with long-run real and nominal risks

Rudebusch, Glenn D.; Swanson, Eric T. - In: American economic journal : a journal of the American … 4 (2012) 1, pp. 105-143

Persistent link: https://www.econbiz.de/10009524125

Stroynowski, Juliusz (contributor) - 1989

Persistent link: https://www.econbiz.de/10009424606

Southerton, Dale (contributor) - 2011

Persistent link: https://www.econbiz.de/10009491464

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