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~person:"Feng, Runhuan"
~person:"Fergusson, Kevin"
~person:"Stevens, Ralph"
~subject:"Portfolio selection"
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Search: subject:"Lebensversicherung"
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Portfolio selection
Lebensversicherung
23
Life insurance
23
Risikomodell
12
Risk model
12
Theorie
12
Theory
12
Mortality
11
Sterblichkeit
11
Hedging
10
Portfolio-Management
10
Private Altersvorsorge
9
Private retirement provision
9
Option pricing theory
6
Optionspreistheorie
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Risiko
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Risk
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Messung
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Risikomaß
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Risk management
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EU-Versicherungsrecht
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Feng, Runhuan
Fergusson, Kevin
Stevens, Ralph
Gatzert, Nadine
16
Schmeiser, Hato
8
Hieber, Peter
7
Melʹnikov, Aleksandr V.
7
Chen, An
6
Gan, Guojun
6
Maurer, Raimond
6
Shevchenko, Pavel V.
6
Chodorow-Reich, Gabriel
5
Dhaene, Jan
5
Haddad, Valentin
5
Kwak, Minsuk
5
Luo, Xiaolin
5
Barigou, Karim
4
Ghent, Andra C.
4
Glazyrina, Anna
4
Gründl, Helmut
4
Hoermann, Gudrun
4
Horneff, Wolfram J.
4
Kümmerle, Ruth
4
Mahayni, Antje
4
Pitacco, Ermanno
4
Regis, Luca
4
Rogalla, Ralph
4
Rudolf, Markus
4
Ruß, Jochen
4
Sherris, Michael
4
Aase, Knut K.
3
Albrecht, Peter
3
Birouk, Omar
3
Bohnert, Alexander
3
Bouloux, Alain-Nicolas
3
Costabile, Massimo
3
Davis, E. Philip
3
De Waegenaere, Anja
3
Delong, Łukasz
3
Fernandez-Arjona, Lucio
3
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ASTIN bulletin : the journal of the International Actuarial Association
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
CentER Discussion Paper Series
1
De economist : Netherlands economic review ; quarterly review of the Royal Netherlands Economic Association
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Tinbergen Institute
1
Dissertation Series CentER
1
Insurance / Mathematics & economics
1
Scandinavian actuarial journal
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ECONIS (ZBW)
10
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10
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1
Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin
;
Platen, Eckhard
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
Saved in:
2
Variable annuity pricing, valuation, and risk management : a survey
Feng, Runhuan
;
Gan, Guojun
;
Zhang, Ning
- In:
Scandinavian actuarial journal
2022
(
2022
)
10
,
pp. 867-900
Persistent link: https://www.econbiz.de/10013491041
Saved in:
3
Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Fergusson, Kevin
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
2
,
pp. 381-417
Persistent link: https://www.econbiz.de/10012243342
Saved in:
4
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan
;
Jing, Xiaochen
;
Dhaene, Jan
-
2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...
Persistent link: https://www.econbiz.de/10010464782
Saved in:
5
Hedging Long-Dated Interest Rate Derivatives for Australian Pension Funds and Life Insurers
Fergusson, Kevin
-
2015
Many pension funds and life insurers seek to hedge their exposure to low interest rates using long-dated interest rate derivatives. This paper extends an approach of Platen and Heath 2006 to price and hedge long-dated interest rate derivatives using a combination of Australian cash, bonds and...
Persistent link: https://www.econbiz.de/10013012294
Saved in:
6
Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits
Feng, Runhuan
;
Yi, Bingji
- In:
Insurance / Mathematics & economics
85
(
2019
),
pp. 60-73
Persistent link: https://www.econbiz.de/10011990615
Saved in:
7
Longevity risk in life insurance products
Stevens, Ralph
-
2011
Persistent link: https://www.econbiz.de/10008903446
Saved in:
8
Longevity Risk and Natural Hedge Potential in Portfolios of Life Insurance Products : The Effect of Investment Risk
Stevens, Ralph
-
2011
Payments of life insurance products depend on the uncertain future evolution of survival probabilities. This uncertainty is referred to as longevity risk. Existing literature shows that the effect of longevity risk on single life annuities can be substantial, and that there exists a (natural)...
Persistent link: https://www.econbiz.de/10013127855
Saved in:
9
Longevity risk and natural hedge potential in portfolios of life insurance products : the effect of investment risk
Stevens, Ralph
;
De Waegenaere, Anja
;
Melenberg, Bertrand
-
2011
Persistent link: https://www.econbiz.de/10008988371
Saved in:
10
Longevity risk
De Waegenaere, Anja
;
Melenberg, Bertrand
;
Stevens, Ralph
- In:
De economist : Netherlands economic review ; quarterly …
158
(
2010
)
2
,
pp. 151-192
Persistent link: https://www.econbiz.de/10009299705
Saved in:
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