Similar Search Results

Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model

Cui, Zhenyu; Feng, Runhuan; MacKay, Anne - In: North American actuarial journal 21 (2017) 3, pp. 458-483

Persistent link: https://www.econbiz.de/10011858078

Best-estimates in bond markets with reinvestment risk

MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276

The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...

Persistent link: https://www.econbiz.de/10011300314

Optimal surrender policy for variable annuity guarantees

Bernard, Carole; MacKay, Anne; Muehlbeyer, Max - In: Insurance / Mathematics & economics 55 (2014), pp. 116-128

Persistent link: https://www.econbiz.de/10010366198

State-dependent fees for variable annuity guarantees

Bernard, Carole; Hardy, Mary Rosalyn; MacKay, Anne - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 559-585

Persistent link: https://www.econbiz.de/10010407950

Branching particle pricers with heston examples

Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012270887

VIX-linked fees for GMWBs via explicit solution simulation methods

Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17

Persistent link: https://www.econbiz.de/10011904577

Risk management of policyholder behavior in equity-linked life insurance

MacKay, Anne; Augustyniak, Maciej; Bernard, Carole; … - In: The journal of risk and insurance : the journal of the … 84 (2017) 2, pp. 661-690

Persistent link: https://www.econbiz.de/10011705852

Comment on "Modeling non-monotone risk aversion using SAHARA utility functions"

Cui, Zhenyu - In: Journal of economic theory 153 (2014), pp. 703-705

Persistent link: https://www.econbiz.de/10010482391

Pricing timer options

Bernard, Carole; Cui, Zhenyu - In: The journal of computational finance 15 (2011/12) 1, pp. 69-104

Persistent link: https://www.econbiz.de/10009382523

Prices and asymptotics for discrete variance swaps

Bernard, Carole; Cui, Zhenyu - In: Applied mathematical finance 21 (2014) 1/2, pp. 140-173

Persistent link: https://www.econbiz.de/10010352006

1
2
3
4
5
6
7
8
9
10
Next
Last