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person:"Dowd, Kevin"
~person:"Bacinello, Anna Rita"
~subject:"Theorie"
~type_genre:"Article in journal"
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Dowd, Kevin
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The journal of risk and insurance : the journal of the American Risk and Insurance Association
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On the market-consistent valuation of participating life insurance heterogeneous contracts under longevity risk
Bacinello, Anna Rita
;
Chen, An
;
Sehner, Thorsten
; …
- In:
Risks : open access journal
9
(
2021
)
1/20
,
pp. 1-18
The purpose of this paper is to conduct a market-consistent valuation of life insurance participating liabilities sold to a population of partially heterogeneous customers under the joint impact of biometric and financial risk. In particular, the heterogeneity between groups of policyholders...
Persistent link: https://www.econbiz.de/10012423050
Saved in:
2
Variable annuities : a unifying valuation approach
Bacinello, Anna Rita
;
Millossovich, Pietro
;
Olivieri, …
- In:
Insurance / Mathematics & economics
49
(
2011
)
3
,
pp. 285-297
Persistent link: https://www.econbiz.de/10009404725
Saved in:
3
Survivor derivatives : a consistent pricing framework
Dawson, Paul
;
Dowd, Kevin
;
Cairns, Andrew
;
Blake, David
- In:
The journal of risk and insurance : the journal of the …
77
(
2010
)
3
,
pp. 579-596
Persistent link: https://www.econbiz.de/10008650419
Saved in:
4
Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul
;
Dowd, Kevin
;
Cairns, Andrew
;
Blake, David
- In:
The journal of futures markets
29
(
2009
)
8
,
pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
Saved in:
5
Survivor swaps
Dowd, Kevin
;
Blake, David
;
Cairns, Andrew
;
Dawson, Paul
- In:
The journal of risk and insurance : the journal of the …
73
(
2006
)
1
,
pp. 1-17
Persistent link: https://www.econbiz.de/10003302387
Saved in:
6
Fair valuation of a guaranteed life insurance participating contract embedding a surrender option
Bacinello, Anna Rita
- In:
The journal of risk and insurance : the journal of the …
70
(
2003
)
3
,
pp. 461-487
Persistent link: https://www.econbiz.de/10001787162
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