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Search: subject:"Surrender Option"
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Surrender option
8
Option pricing theory
6
Optionspreistheorie
6
Lebensversicherung
4
Life insurance
4
Private Altersvorsorge
3
Private retirement provision
3
Variable annuity
3
Algorithm
1
Algorithmus
1
Alternating Direction Implicit methods
1
Altersvorsorge
1
American contingent claims
1
Best estimate of liabilities (BEL)
1
Binomial algorithm
1
Bivariate lattice
1
CAPM
1
Cox-Ingersoll-Ross (CIR) model
1
Discrete dividends
1
Dividend
1
Dividende
1
Finanzmathematik
1
Free-boundary problems
1
Fälligkeit
1
Guaranteed life withdrawal benefits
1
Guaranteed minimum maturity benefit
1
Guaranteed minimum withdrawal benefit
1
Hedge ratios
1
Hedging
1
Insurance contracts
1
Intensity-based models
1
Interest rate
1
Interest rate risk
1
LSMC
1
Least Squares Monte Carlo method
1
Mathematical finance
1
Maturity
1
Minimum rate guarantee
1
Mortality
1
Mortality risk
1
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4
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2
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Article
7
Book / Working Paper
3
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Article in journal
6
Aufsatz in Zeitschrift
6
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English
7
Undetermined
3
Author
All
Bacinello, Anna Rita
3
Anzilli, Luca
1
Biffis, Enrico
1
Cesare, Luigi De
1
Chiarolla, Maria B.
1
Dai, Tian-Shyr
1
De Angelis, Paolo
1
De Angelis, Tiziano
1
De Giovanni, Domenico
1
De Marchis, Roberto
1
Fabozzi, Frank J.
1
Giacometti, Rosella
1
Liu, Liang-Chih
1
Martire, Antonio L.
1
Millossovich, Pietro
1
Russo, Emilio
1
Russo, Vincenzo
1
Shen, Yang
1
Sherris, Michael
1
Stabile, Gabriele
1
Yang, Sharon S.
1
Ziveyi, Jonathan
1
Zoccolan, Ivan
1
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Centre for Research on Pensions and Welfare Policies (CeRP), Collegio Carlo Alberto
1
Dipartimento di Scienze Economiche, Matematiche e Statistiche, Dipartimento di Economia
1
Ehrvervøkonomisk Institut, Institut for Økonomi
1
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Insurance / Mathematics & economics
3
CeRP Working Papers
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Decisions in economics and finance : a journal of applied mathematics
1
Finance Research Group Working Papers
1
Finance and stochastics
1
Quaderni DSEMS
1
Quantitative Finance
1
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ECONIS (ZBW)
6
RePEc
4
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1
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1
A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders
De Angelis, Paolo
;
De Marchis, Roberto
;
Martire, Antonio L.
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 415-446
Persistent link: https://www.econbiz.de/10013380577
Saved in:
2
An analytical study of participating policies with minimum rate guarantee and
surrender
option
Chiarolla, Maria B.
;
De Angelis, Tiziano
;
Stabile, Gabriele
- In:
Finance and stochastics
26
(
2022
)
2
,
pp. 173-216
Persistent link: https://www.econbiz.de/10013197521
Saved in:
3
Variable annuities with a threshold fee : valuation, numerical implementation and comparative static analysis
Bacinello, Anna Rita
;
Zoccolan, Ivan
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 21-49
Persistent link: https://www.econbiz.de/10012065156
Saved in:
4
Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo
;
Giacometti, Rosella
;
Fabozzi, Frank J.
- In:
Insurance / Mathematics & economics
72
(
2017
),
pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
Saved in:
5
Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Shen, Yang
;
Sherris, Michael
;
Ziveyi, Jonathan
- In:
Insurance / Mathematics & economics
69
(
2016
),
pp. 127-137
Persistent link: https://www.econbiz.de/10011530941
Saved in:
6
Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks
Dai, Tian-Shyr
;
Yang, Sharon S.
;
Liu, Liang-Chih
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 364-379
Persistent link: https://www.econbiz.de/10011398106
Saved in:
7
Regression-based algorithms for life insurance contracts with surrender guarantees
Bacinello, Anna Rita
;
Biffis, Enrico
;
Millossovich, Pietro
- In:
Quantitative Finance
10
(
2010
)
9
,
pp. 1077-1090
We present a general framework for pricing life insurance contracts embedding a
surrender
option
. The model allows for …
Persistent link: https://www.econbiz.de/10008675053
Saved in:
8
Valuation of the
surrender
option
in unit-linked life insurance policies in a non-rational behaviour framework
Anzilli, Luca
;
Cesare, Luigi De
-
Dipartimento di Scienze Economiche, Matematiche e …
-
2007
In this article we propose a discrete time-based model for the evaluation of the
surrender
option
implicit in a …
Persistent link: https://www.econbiz.de/10005434783
Saved in:
9
Lapse Rate Modeling: A Rational Expectation Approach
De Giovanni, Domenico
-
Ehrvervøkonomisk Institut, Institut for Økonomi
-
2007
Lapse Rate Modeling: A Rational Expectation Approach Abstract The
surrender
option
embedded in many life insurance …
Persistent link: https://www.econbiz.de/10005802551
Saved in:
10
Modelling the Surrender Conditions in Equity-Linked Life Insurance
Bacinello, Anna Rita
-
Centre for Research on Pensions and Welfare Policies …
-
2005
We propose a model for pricing a unit-linked life insurance policy embedding a
surrender
option
. We consider both …
Persistent link: https://www.econbiz.de/10005012788
Saved in:
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