Showing 1 - 10 of 1,351
In this paper, we focus on the calibration of affine stochastic mortality models using term assurance premiums. We view term assurance contracts as a "swap" in which policyholders exchange cash flows (premiums vs. benefits) with an insurer analogous to a generic interest rate swap or credit...
Persistent link: https://www.econbiz.de/10009146179
Persistent link: https://www.econbiz.de/10009157445
Persistent link: https://www.econbiz.de/10011420799
Persistent link: https://www.econbiz.de/10011694432
Persistent link: https://www.econbiz.de/10012008749
This paper examines the properties that a risk measure should satisfy in order to characterize an investor's preferences. In particular, we propose some intuitive and realistic examples that describe several desirable features of an ideal risk measure. This analysis is the first step in...
Persistent link: https://www.econbiz.de/10005080456
Persistent link: https://www.econbiz.de/10009271854
Persistent link: https://www.econbiz.de/10003847149
Persistent link: https://www.econbiz.de/10003647097
Persistent link: https://www.econbiz.de/10003280039