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Analysis of survivorship life insurance portfolios with stochastic rates of return
Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31
Persistent link: https://www.econbiz.de/10011740696
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Time-consistent mean-variance hedging of longevity risk : effect of cointegration
Wong, Tat Wing; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 56 (2014), pp. 56-67
Persistent link: https://www.econbiz.de/10010385032
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Statistical emulators for pricing and hedging longevity risk products
Risk, J.; Ludkovski, M. - In: Insurance / Mathematics & economics 68 (2016), pp. 45-60
Persistent link: https://www.econbiz.de/10011492443
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From regulatory life tables to stochastic mortality projections : the exponential decline model
Denuit, Michel; Trufin, Julien - In: Insurance / Mathematics & economics 71 (2016), pp. 295-303
Persistent link: https://www.econbiz.de/10011630848
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Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach
Li, Johnny Siu-Hang; Liu, Yanxin; Chan, Wai-Sum - In: Insurance / Mathematics & economics 113 (2023), pp. 96-121
Persistent link: https://www.econbiz.de/10014466206
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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
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A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012419211
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A unisex stochastic mortality model to comply with EU Gender Directive
Chen, An; Vigna, Elena - In: Insurance / Mathematics & economics 73 (2017), pp. 124-136
Persistent link: https://www.econbiz.de/10011702055
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Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits
Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73
Persistent link: https://www.econbiz.de/10011990615
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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670
Persistent link: https://www.econbiz.de/10010227909