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  • Search: subject:"unit-linked life insurance contracts"
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Year of publication
Subject
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Unit-linked life insurance contracts 6 Lebensversicherung 4 Partial information 4 unit-linked life insurance contracts 3 Benchmark approach 2 Filtering 2 Föllmer-Schweizer decomposition 2 Hedging 2 Life insurance 2 Local risk-minimization 2 Markov chain 2 Markov-Kette 2 Markovian jump-diffusion models 2 Markovian models 2 Minimal martingale measure 2 Option pricing theory 2 Optionspreistheorie 2 Risk-minimization 2 Sterblichkeit 2 Stochastischer Prozess 2 Theorie 2 fair contract analysis 2 limited rationality 2 mortality model risk 2 price bounds 2 stochastic control 2 surrender guarantee 2 Actuarial mathematics 1 Benchmarking 1 Bewertung 1 Decomposition method 1 Dekompositionsverfahren 1 Galtchouk-Kunita-Watanabe decomposition 1 Galtchouk–Kunita–Watanabe decomposition 1 Gerechtigkeit 1 Incomplete information 1 Indexierung 1 Investmentfonds 1 Kontrolltheorie 1 Martingal 1
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Online availability
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Free 4 Undetermined 3
Type of publication
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Article 5 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2
Language
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English 6 Undetermined 3
Author
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Li, Jing 5 Szimayer, Alexander 5 Ceci, Claudia 4 Colaneri, Katia 4 Cretarola, Alessandra 4
Institution
All
University of Bonn, Germany 2
Published in...
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Bonn Econ Discussion Papers 4 Insurance: Mathematics and Economics 3 Insurance / Mathematics & economics 2
Source
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RePEc 5 ECONIS (ZBW) 2 EconStor 2
Showing 1 - 9 of 9
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The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques …
Persistent link: https://www.econbiz.de/10010270425
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The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
Li, Jing; Szimayer, Alexander - 2010
We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal …
Persistent link: https://www.econbiz.de/10010293371
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Bilateral Trade, Openness and Asset Holdings
Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2010
We study the valuation of unit-linked life insurance contracts with surrender guarantees. Instead of solving an optimal …
Persistent link: https://www.econbiz.de/10008764096
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The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing; Szimayer, Alexander - University of Bonn, Germany - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques …
Persistent link: https://www.econbiz.de/10008455622
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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance: Mathematics and Economics 60 (2015) C, pp. 47-60
rate. We consider a financial market driven by a general semimartingale and we aim to hedge unit-linked life insurance … contracts via the local risk-minimization approach under partial information. The Föllmer–Schweizer decomposition of the …
Persistent link: https://www.econbiz.de/10011190006
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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 60 (2015), pp. 47-60
Persistent link: https://www.econbiz.de/10010484834
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A benchmark approach to risk-minimization under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 129-146
–Kunita–Watanabe decomposition under full information via dual predictable projections. Finally we show how these results can be applied to unit-linked … life insurance contracts. …
Persistent link: https://www.econbiz.de/10010753197
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Cover Image
A benchmark approach to risk-minimization under partial information
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 55 (2014), pp. 129-146
Persistent link: https://www.econbiz.de/10010366196
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Cover Image
The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
Li, Jing; Szimayer, Alexander - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 471-486
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is … setting we derive upper and lower price bounds for unit-linked life insurance contracts using stochastic control techniques …
Persistent link: https://www.econbiz.de/10010572708
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