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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices
van Haastrecht, Alexander; Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-278
Persistent link: https://www.econbiz.de/10008717981
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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-448
Persistent link: https://www.econbiz.de/10008332283
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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon; … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-449
Persistent link: https://www.econbiz.de/10008890261
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Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 124-134
Persistent link: https://www.econbiz.de/10008212891
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Analytical approximations for prices of swap rate dependent embedded options in insurance products
Plat, Richard; Pelsser, Antoon - In: Insurance / Mathematics & economics 44 (2009) 1, pp. 124-135
Persistent link: https://www.econbiz.de/10008890298
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One-year Value-at-Risk for longevity and mortality
Plat, Richard - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 462-471
Persistent link: https://www.econbiz.de/10009807373
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On stochastic mortality modeling
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 393-404
Persistent link: https://www.econbiz.de/10008332287
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Stochastic portfolio specific mortality and the quantification of mortality basis risk
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 123-133
Persistent link: https://www.econbiz.de/10008895433
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Stochastic portfolio specific mortality and the quantification of mortality basis risk
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 123-132
Persistent link: https://www.econbiz.de/10008277110
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On stochastic mortality modeling
Plat, Richard - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 393-405
Persistent link: https://www.econbiz.de/10008890265