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Pricing and hedging of unit-linked life insurance products

Philipps, Jörg - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009615954

Essays on asymmetric sharing induced externalities within insurance relationships

Häfen, Ole von - 2014

Persistent link: https://www.econbiz.de/10013409374

Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10011419373

Calculating variable annuity liability "Greeks" using Monte Carlo simulation

Cathcart, Mark J.; Lok, Hsiao Yen; McNeil, Alexander J.; … - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 239-266

Persistent link: https://www.econbiz.de/10011312287

Pricing inflation-linked variable annuities under stochastic interest rates

Tiong, Serena - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 77-86

Persistent link: https://www.econbiz.de/10009718999

Pricing variable annuity guarantees in a local volatility framework

Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663

Persistent link: https://www.econbiz.de/10010227910

Valuing equity-linked death benefits in jump diffusion models

Gerber, Hans U.; Shiu, Elias S. W.; Yang, Hailiang - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 615-623

Persistent link: https://www.econbiz.de/10010227922

Pricing and hedging variable annuity guarantees with multiasset stochastic investment models

Cheuk-yin Ng, Andrew; Siu-hang Li, Johnny - In: North American actuarial journal 17 (2013) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10010259822

Valuing inflation-linked death benefits under a stochastic volatility framework

Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58

Persistent link: https://www.econbiz.de/10011530922

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

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

Persistent link: https://www.econbiz.de/10011507624