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~subject:"Spieltheorie"
~subject:"Private retirement provision"
~type_genre:"Aufsatz in Zeitschrift"
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ECONIS (ZBW)
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1
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Ai, Meiqiao
;
Zhang, Zhimin
;
Zhu, Dan
- In:
Scandinavian actuarial journal
2023
(
2023
)
4
,
pp. 330-358
Persistent link: https://www.econbiz.de/10014336388
Saved in:
2
Risk allocation through shapley decompositions, with applications to variable annuities
Godin, Frédéric
;
Hamel, Emmanuel
;
Gaillardetz, Patrice
; …
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
2
,
pp. 311-331
Persistent link: https://www.econbiz.de/10014320258
Saved in:
3
Valuation of general GMWB annuities in a low interest rate environment
Fontana, Claudio
;
Rotondi, Francesco
- In:
Insurance / Mathematics & economics
112
(
2023
),
pp. 142-167
Persistent link: https://www.econbiz.de/10014446751
Saved in:
4
Valuation of variable annuities with guaranteed minimummaturity benefits and periodic fees
Ai, Meiqiao
;
Wang, Yunyun
;
Zhang, Zhimin
;
Zhu, Dan
- In:
Scandinavian actuarial journal
2024
(
2024
)
3
,
pp. 252-278
Persistent link: https://www.econbiz.de/10014520482
Saved in:
5
It's RILA time : an introduction to registered index-linked annuities
Moenig, Thorsten
- In:
The journal of risk & insurance
89
(
2022
)
2
,
pp. 339-369
Persistent link: https://www.econbiz.de/10013191414
Saved in:
6
Glide paths for a retirement plan with deferred annuities
Jang, Chul
;
Clare, Andrew D.
;
Owadally, Iqbal
- In:
Journal of pension economics and finance : JPEF
21
(
2022
)
4
,
pp. 565-581
Persistent link: https://www.econbiz.de/10013426519
Saved in:
7
Analytic expressions for annuities based on Makeham-Beard mortality laws
Bowie, David C.
- In:
Annals of actuarial science : publ. by the Institute of …
15
(
2021
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10012505587
Saved in:
8
Optimal investment for a retirement plan with deferred annuities
Owadally, Iqbal
;
Jang, Chul
;
Clare, Andrew D.
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 51-62
Persistent link: https://www.econbiz.de/10012545262
Saved in:
9
Perfect withdrawal in a noisy world : investing lessons with and without annuities while in drawdown between 2000 and 2019
Clare, Andrew D.
;
Seaton, James
;
Smith, Peter N.
; …
- In:
The journal of retirement : JOR
9
(
2021
)
1
,
pp. 9-39
Persistent link: https://www.econbiz.de/10012613659
Saved in:
10
Optimal investment for a retirement plan with deferred annuities allowing for inflation and labour income risk
Owadally, Iqbal
;
Jang, Chul
;
Clare, Andrew D.
- In:
European journal of operational research : EJOR
295
(
2021
)
3
,
pp. 1132-1146
Persistent link: https://www.econbiz.de/10012622446
Saved in:
11
Application of copulas to modelling of marriage reverse annuity contract
Dębicka, Joanna
;
Heilpern, Stanisław
;
Marciniuk, Agnieszka
- In:
Prague economic papers : a bimonthly journal of …
29
(
2020
)
4
,
pp. 445-468
Persistent link: https://www.econbiz.de/10012593602
Saved in:
12
Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura
;
Eberlein, Ernst
;
Schmidt, Thorsten
; …
- In:
Quantitative finance
20
(
2020
)
5
,
pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
Saved in:
13
Risk-based capital for variable annuity under stochastic interest rate
Wang, JinDong
;
Xu, Wei
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 959-999
Persistent link: https://www.econbiz.de/10012307392
Saved in:
14
Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 1001-1035
Persistent link: https://www.econbiz.de/10012307397
Saved in:
15
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:
16
Unique Tarski fixed points
Marinacci, Massimo
;
Montrucchio, Luigi
- In:
Mathematics of operations research
44
(
2019
)
4
,
pp. 1174-1191
Persistent link: https://www.econbiz.de/10012128347
Saved in:
17
Annuitization and asset allocation under exponential utility
Liang, Xiaoqing
;
Young, Virginia R.
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 167-183
Persistent link: https://www.econbiz.de/10011825434
Saved in:
18
Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Shevchenko, Pavel V.
;
Luo, Xiaolin
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 104-117
Persistent link: https://www.econbiz.de/10011774788
Saved in:
19
Modeling partial Greeks of variable annuities with dependence
Gan, Guojun
;
Valdez, Emiliano
- In:
Insurance / Mathematics & economics
76
(
2017
),
pp. 118-134
Persistent link: https://www.econbiz.de/10011774791
Saved in:
20
Indifference pricing of a GLWB option in variable annuities
Choi, Jungmin
- In:
North American actuarial journal
21
(
2017
)
2
,
pp. 281-296
Persistent link: https://www.econbiz.de/10011858037
Saved in:
21
Demographic risk in deep-deferred annuity valuation
Ji, Min
;
Zhou, Rui
- In:
Annals of actuarial science : publ. by the Institute of …
11
(
2017
)
2
,
pp. 286-314
Persistent link: https://www.econbiz.de/10011820667
Saved in:
22
Indifference fee rate for variable annuities
Chevalier, Etienne
;
Lim, Thomas
;
Romero, Ricardo Romo
- In:
Applied mathematical finance
23
(
2016
)
3/4
,
pp. 278-308
Persistent link: https://www.econbiz.de/10011704242
Saved in:
23
A proof of the existence of φ-stable sets in N-player games via Glicksberg's fixed point theorem
Luckraz, Shravan
- In:
Asian journal of management science and applications : AJMSA
2
(
2015/2016
)
4
,
pp. 356-364
Persistent link: https://www.econbiz.de/10011713530
Saved in:
24
Spatial valuation of annuity derivatives
Torres, Gabriel Alberto Agudelo
;
Arbeldáez, Luis …
- In:
International journal of bonds and derivatives
2
(
2016
)
3
,
pp. 233-248
Persistent link: https://www.econbiz.de/10011742333
Saved in:
25
Move-based hedging of variable annuities : a semi-analytic approach
Lin, X. Sheldon
;
Wu, Panpan
;
Wang, Xiao
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 40-49
Persistent link: https://www.econbiz.de/10011630601
Saved in:
26
Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette
;
Chevalier, Etienne
; …
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-35
Persistent link: https://www.econbiz.de/10011419373
Saved in:
27
Pricing annuity guarantees under a double regime-switching model
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
Insurance / Mathematics & economics
62
(
2015
),
pp. 62-78
Persistent link: https://www.econbiz.de/10011312087
Saved in:
28
Calculating variable annuity liability "Greeks" using Monte Carlo simulation
Cathcart, Mark J.
;
Lok, Hsiao Yen
;
McNeil, Alexander J.
; …
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
2
,
pp. 239-266
Persistent link: https://www.econbiz.de/10011312287
Saved in:
29
Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Luo, Xiaolin
;
Shevchenko, Pavel V.
- In:
International journal of financial engineering
2
(
2015
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403137
Saved in:
30
Taking a chance : a formal model of how firms use risk in strategic interaction with other firms
Ross, David Gaddis
- In:
The Academy of Management review : AMR
39
(
2014
)
2
,
pp. 202-226
Persistent link: https://www.econbiz.de/10010358407
Saved in:
31
Fixed point theorems for discontinuous maps on a non-convex domain
Fujimoto, Takao
- In:
Metroeconomica : international review of economics
64
(
2013
)
3
,
pp. 547-572
Persistent link: https://www.econbiz.de/10009776436
Saved in:
32
Reputation in multi-unit ascending auction with common values
Kwiek, Maksymilian
- In:
Economics letters
118
(
2013
)
1
,
pp. 216-218
Persistent link: https://www.econbiz.de/10009706813
Saved in:
33
Pricing variable annuity guarantees in a local volatility framework
Deelstra, Griselda
;
Rayée, Grégory
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 650-663
Persistent link: https://www.econbiz.de/10010227910
Saved in:
34
Pricing inflation-linked variable annuities under stochastic interest rates
Tiong, Serena
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 77-86
Persistent link: https://www.econbiz.de/10009718999
Saved in:
35
Analytical calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan
;
Volkmer, Hans W.
- In:
Insurance / Mathematics & economics
51
(
2012
)
3
,
pp. 636-648
Persistent link: https://www.econbiz.de/10009683199
Saved in:
36
The neglect of monotone comparative statics methods
Tremblay, Carol Horton
;
Tremblay, Victor J.
- In:
The journal of economic education
41
(
2010
)
2
,
pp. 177-193
Persistent link: https://www.econbiz.de/10003965161
Saved in:
37
Pricing and risk management of variables annuities and equity-indexed annuities
Cao, Guanghua
;
Chen, Andrew H.
;
Chen, Zhangxin
- In:
Research in finance
26
(
2010
),
pp. 183-212
Persistent link: https://www.econbiz.de/10009241012
Saved in:
38
Presidential address
Kalai, Ehud
- In:
Games and economic behavior
63
(
2008
)
2
,
pp. 421-430
Persistent link: https://www.econbiz.de/10003736893
Saved in:
39
Strategy-proof and symmetric allocation of an indivisible good
Ando, Kazutoshi
;
Kato, Miki
;
Ohseto, Shinji
- In:
Mathematical social sciences
55
(
2008
)
1
,
pp. 14-23
Persistent link: https://www.econbiz.de/10003622139
Saved in:
40
Variable annuities and the new retirement realities
Condron, Christopher M.
- In:
The Geneva papers on risk and insurance - issues and …
33
(
2008
)
1
,
pp. 12-32
Persistent link: https://www.econbiz.de/10003608055
Saved in:
41
Extreme points of two digraph polytopes : description and applications in economics and game theory
Brink, René van den
;
Laan, Gerard van der
;
Vasilʹev, …
- In:
Journal of mathematical economics
44
(
2008
)
11
,
pp. 1114-1125
Persistent link: https://www.econbiz.de/10003783831
Saved in:
42
A herding perspective on global games and multiplicity
Costain, James
(
contributor
)
- In:
The B.E. journal of theoretical economics
7
(
2007
)
1
,
pp. 1-53
Persistent link: https://www.econbiz.de/10003738160
Saved in:
43
Subjective economic risk to beneficiaries in notional defined contribution accounts
Vidal-Meliá, Carlos
;
Domínguez-Fabían, Immaculada
; …
- In:
The journal of risk and insurance : the journal of the …
73
(
2006
)
3
,
pp. 489-515
Persistent link: https://www.econbiz.de/10003378475
Saved in:
44
Comment on S. Valdés-Prieto, "The financial stability of notional account pensions"
Breyer, Friedrich
- In:
The Scandinavian journal of economics
106
(
2004
)
2
,
pp. 385-387
Persistent link: https://www.econbiz.de/10002212053
Saved in:
45
La estabilidad financiera de las pensiones basadas en cuentas nocionales
Valdés Prieto, Salvador
- In:
Notas de población
28
(
2001
),
pp. 39-71
Persistent link: https://www.econbiz.de/10001602104
Saved in:
46
The financial stability of notional account pensions
Valdés Prieto, Salvador
- In:
The Scandinavian journal of economics
102
(
2000
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10001516894
Saved in:
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