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Indifference fee rate for variable annuities
Chevalier, Etienne; Lim, Thomas; Romero, Ricardo Romo - In: Applied mathematical finance 23 (2016) 3/4, pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
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From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
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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
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Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33
Persistent link: https://www.econbiz.de/10010437640
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Non-linear filtering and optimal investment under partial information for stochastic volatility models
Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346
Persistent link: https://www.econbiz.de/10011874006
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Fair valuation of insurance liability cash-flow streams in continuous time : applications
Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 299-333
Persistent link: https://www.econbiz.de/10012056592
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Der Itô-Kalkül : Einführung und Anwendungen
Deck, Thomas - 2006
Persistent link: https://www.econbiz.de/10003028231
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Optimal control strategies for the premium policy of an insurance firm with jump diffusion assets and stochastic interest rate
Guerdouh, Dalila; Khelfallah, Nabil; Vives, Josep - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
In this paper, we present a stochastic optimal control model to optimize an insurance firm problem in the case where its cash-balance process is assumed to be described by a stochastic differential equation driven by Teugels martingales. Noticing that the insurance firm is able to control its...
Persistent link: https://www.econbiz.de/10013165295
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A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David - In: International journal of theoretical and applied finance 23 (2020) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
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Approximate indifference pricing in exponential Lévy models
Ménassé, Clément; Tankov, Peter - In: Applied mathematical finance 23 (2016) 3/4, pp. 197-235
Persistent link: https://www.econbiz.de/10011704228