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The fair value of guaranteed annuity options
Biffis, Enrico; Millossovich, Pietro - In: Scandinavian actuarial journal : Actuarial Society of … 106 (2006) 1, pp. 23-41
Persistent link: https://www.econbiz.de/10005918478
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Variable annuities: A unifying valuation approach
Bacinello, Anna Rita; Millossovich, Pietro; Olivieri, … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 285-298
Persistent link: https://www.econbiz.de/10009807356
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Dynamic capital allocation with distortion risk measures
Tsanakas, Andreas - In: Insurance / Mathematics & economics 35 (2004) 2, pp. 223-244
Persistent link: https://www.econbiz.de/10006879179
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Risk capital allocation and cooperative pricing of insurance liabilities
Tsanakas, Andreas; Barnett, Christopher - In: Insurance / Mathematics & economics 33 (2003) 2, pp. 239-254
Persistent link: https://www.econbiz.de/10006885596
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Risk measurement in the presence of background risk
Tsanakas, Andreas - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 520-528
Persistent link: https://www.econbiz.de/10007988424
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Optimal Capital Allocation Principles
Dhaene, Jan; Tsanakas, Andreas; Valdez, Emiliano A.; … - In: The journal of risk and insurance : the journal of the … 79 (2012) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10009835389
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Risk measurement in the presence of background risk
Tsanakas, Andreas - In: Insurance / Mathematics & economics 42 (2008) 2, pp. 520-529
Persistent link: https://www.econbiz.de/10008879718
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To split or not to split: Capital allocation with convex risk measures
Tsanakas, Andreas - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 268-278
Persistent link: https://www.econbiz.de/10008890282
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To split or not to split: Capital allocation with convex risk measures
Tsanakas, Andreas - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 268-277
Persistent link: https://www.econbiz.de/10008237875