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Modeling and pricing longevity derivatives using Skellam distribution

Kung, Ko-Lun; Liu, I-Chien; Wang, Chou-Wen - In: Insurance / Mathematics & economics 99 (2021), pp. 341-354

Persistent link: https://www.econbiz.de/10012649236

OPTIMAL CONSUMPTION AND INVESTMENT PROBLEM INCORPORATING HOUSING AND LIFE INSURANCE DECISIONS : THE CONTINUOUS TIME CASE

Kung, Ko-Lun; Yang, Shang-Yin - In: Journal of Risk and Insurance (2019)

Persistent link: https://www.econbiz.de/10012094570

Multi-population mortality modeling : when the data is too much and not enough

Kung, Ko-Lun; MacMinn, Richard D.; Kuo, Weiyu; Tsai, … - In: Insurance / Mathematics & economics 103 (2022), pp. 41-55

Persistent link: https://www.econbiz.de/10013198325

Profitability and risk profile of reverse mortgages : a cross-system and cross-plan comparison

Lee, Yung-Tsung; Kung, Ko-Lun; Liu, I-Chien - In: Insurance / Mathematics & economics 78 (2018), pp. 255-266

Persistent link: https://www.econbiz.de/10011825290

Explaining the risk premiums of life settlements

Kung, Ko-Lun; Hsieh, Ming-Hua; Peng, Jin Lung; Tsai, … - In: Pacific-Basin finance journal 68 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013332817

Pricing generalized capped exchange options

Wang, Chou-Wen; Liao, Szu-Lang; Wu, Ting-Yi - In: Applied financial economics 18 (2008) 7/9, pp. 765-776

Persistent link: https://www.econbiz.de/10003739384

The valuation of special purpose vehicles by issuing structured credit-linked notes

Chang, Chia-Chien; Wang, Chou-Wen; Liao, Szu-Lang - In: Applied financial economics 19 (2009) 1/3, pp. 227-256

With the intersection of market and credit risk, the first contribution is to derive the analytic formulas of the Credit Linked Notes (CLNs) and the leveraged total return CLNs issued by an Special Purpose Vehicle (SPV) or the protection buyer. The second contribution is to prove that the values...

Persistent link: https://www.econbiz.de/10003825916

A quantitative comparison of the Lee-Carter Model under different types of non-Gaussian innovations

Wang, Chou-wen; Huang, Hong-chih; Liu, I-chien - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 675-696

Persistent link: https://www.econbiz.de/10009503485

Securitisation of crossover risk in reverse mortgages

Huang, Hong-chih; Wang, Chou-wen; Miao, Yuan-chi - In: The Geneva papers on risk and insurance - issues and … 36 (2011) 4, pp. 622-647

Persistent link: https://www.econbiz.de/10009503504

Do liquidity and sampling methods matter in constructing volatility indices? : empirical evidence from Taiwan

Tzang, Shyh-weir; Hung, Chih-hsing; Wang, Chou-wen; … - In: International review of economics & finance : IREF 20 (2011) 2, pp. 312-324

Persistent link: https://www.econbiz.de/10009304121