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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

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Chiarella, Carl - 2010

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the long-term optimal...

Persistent link: https://www.econbiz.de/10013136824

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

Calibration to FX triangles of the 4/2 model under the benchmark approach

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - 2021

Persistent link: https://www.econbiz.de/10013347384

Calibration to FX triangles of the 4/2 model under the benchmark approach

Gnoatto, Alessandro; Grasselli, Martino; Platen, Eckhard - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 1-34

Persistent link: https://www.econbiz.de/10013380525

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

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

Persistent link: https://www.econbiz.de/10011643397

Valuing customer portfolios with endogenous mass-and-direct-marketing interventions using a stochastic dynamic programming decomposition

Esteban-Bravo, Mercedes; Vidal-Sanz, José M.; … - 2012

Persistent link: https://www.econbiz.de/10009685227

An Intensity Model for Credit Risk with Switching Lévy Processes

Hainaut, Donatien - 2014

We develop a switching regime version of the intensity model for credit risk pricing. The default event is specified by …

Persistent link: https://www.econbiz.de/10013064624

Cliquet-Style Return Guarantees in a Regime Switching Lévy Model

Hieber, Peter - 2016

-term financial contracts, the inclusion of macroeconomic changes is a relevant risk driver for (long-term) insurance contracts. This …

Persistent link: https://www.econbiz.de/10012987244