Similar Search Results

The Effect of Secondary Markets on Equity-Linked Life Insurance with Surrender Guarantees

Hilpert, Christian; Li, Jing; Szimayer, Alexander - 2011

We study the effect of secondary markets on equity-linked life insurance contracts with surrender guarantees. The policyholders are assumed to be boundedly rational in giving up their contracts, and a proportion of policyholders will access the secondary markets instead of surrendering the...

Persistent link: https://www.econbiz.de/10010312983

Ornstein-Uhlenbeck processes and extensions

Maller, Ross A.; Müller, Gernot; Szimayer, Alexander - In: Handbook of financial time series, (pp. 421-437). 2009

Persistent link: https://www.econbiz.de/10003833975

The flight-to-quality effect : a copula-based analysis

Durand, Robert B.; Junker, Markus; Szimayer, Alexander - In: Accounting and finance : journal of the Accounting … 50 (2010) 2, pp. 281-299

Persistent link: https://www.econbiz.de/10003990321

Local and spillover shocks in implied market volatility : evidence for the U.S. and Germany

Wagner, Niklas F.; Szimayer, Alexander - In: Research in international business and finance 18 (2004) 3, pp. 237-251

Persistent link: https://www.econbiz.de/10003396216

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...