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Risk management of policyholder behavior in equity-linked life insurance

MacKay, Anne; Augustyniak, Maciej; Bernard, Carole; … - In: The journal of risk and insurance : the journal of the … 84 (2017) 2, pp. 661-690

Persistent link: https://www.econbiz.de/10011705852

VIX-linked fees for GMWBs via explicit solution simulation methods

Kouritzin, Michael A.; MacKay, Anne - In: Insurance / Mathematics & economics 81 (2018), pp. 1-17

Persistent link: https://www.econbiz.de/10011904577

Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model

Cui, Zhenyu; Feng, Runhuan; MacKay, Anne - In: North American actuarial journal 21 (2017) 3, pp. 458-483

Persistent link: https://www.econbiz.de/10011858078

Branching particle pricers with heston examples

Kouritzin, Michael A.; MacKay, Anne - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012270887

A unifying approach for the pricing of debt securities

Vachon, Marie-Claude; MacKay, Anne - In: Quantitative finance 24 (2024) 12, pp. 1747-1772

Persistent link: https://www.econbiz.de/10015196964

Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation

MacKay, Anne; Vachon, Marie-Claude; Cui, Zhenyu - In: Quantitative finance 23 (2023) 7/8, pp. 1055-1078

Persistent link: https://www.econbiz.de/10014321664

Optimal surrender policy for variable annuity guarantees

Bernard, Carole; MacKay, Anne; Muehlbeyer, Max - In: Insurance: Mathematics and Economics 55 (2014) C, pp. 116-128

This paper proposes a technique to derive the optimal surrender strategy for a variable annuity (VA) as a function of the underlying fund value. This approach is based on splitting the value of the VA into a European part and an early exercise premium following the work of Kim and Yu (1996) and...

Persistent link: https://www.econbiz.de/10011046621

Risk sharing and pricing in the reinsurance market

Bernard, Carole - In: Handbook of Insurance : Volume II, (pp. 325-349). 2025

Persistent link: https://www.econbiz.de/10015399618

Where Less Is More: Reducing Variable Annuity Fees to Benefit Policyholder and Insurer

Bernard, Carole; Moenig, Thorsten - In: Journal of Risk and Insurance 86 (2018) 3, pp. 761-782

Persistent link: https://www.econbiz.de/10012094540

Market value of life insurance contracts under stochastic interest rates and default risk

Bernard, Carole; Le Courtois, Olivier; Quittard-Pinon, … - In: Insurance: Mathematics and Economics 36 (2005) 3, pp. 499-516

Persistent link: https://www.econbiz.de/10005374581