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Volterra mortality model : actuarial valuation and risk management with long-range dependence
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance 96 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012482737
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Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Palmowski, Z.; Budhi Arta Surya - In: Insurance 93 (2020), pp. 168-177
Persistent link: https://www.econbiz.de/10012294093
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Conditional copula simulation for systemic risk stress testing
Brechmann, Eike C.; Hendrich, Katharina; Czado, Claudia - In: Insurance 53 (2013) 3, pp. 722-732
Persistent link: https://www.econbiz.de/10010227893
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Pension risk management with funding and buyout options
Cox, Samuel H.; Lin, Yijia; Shi, Tianxiang - In: Insurance 78 (2018), pp. 183-200
Persistent link: https://www.econbiz.de/10011825260
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Intensity-based framework for surrender modeling in life insurance
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - In: Insurance 72 (2017), pp. 189-196
Persistent link: https://www.econbiz.de/10011694432
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Unhedgeable inflation risk within pension schemes
Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - In: Insurance 90 (2020), pp. 7-24
Persistent link: https://www.econbiz.de/10012169492
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COVID-19 and credit risk : a long memory perspective
Yin, Jie; Han, Bingyan; Wong, Hoi Ying - In: Insurance 104 (2022), pp. 15-34
Persistent link: https://www.econbiz.de/10013264931
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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance 88 (2019), pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
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A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
Cantia, Catalin; Tunaru, Radu - In: Insurance 72 (2017), pp. 21-35
Persistent link: https://www.econbiz.de/10011691492
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Finite-time survival probability and credit default swaps pricing under geometric Lévy markets
Hao, Xuemiao; Li, Xuan; Shimizu, Yasutaka - In: Insurance 53 (2013) 1, pp. 14-23
Persistent link: https://www.econbiz.de/10009785428