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Valuing variable annuity guarantees on multiple assets
Fonseca, José da; Ziveyi, Jonathan - In: Scandinavian actuarial journal (2017) 3, pp. 209-230
Persistent link: https://www.econbiz.de/10011772102
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Less-expensive long-term annuities linked to mortality, cash and equity
Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207
Persistent link: https://www.econbiz.de/10014306947
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Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62
Persistent link: https://www.econbiz.de/10011712358
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A discrete-time hedging framework with multiple factors and fat tails : on what matters
Augustyniak, Maciej; Badescu, Alexandru; Bégin, … - In: Journal of econometrics 232 (2023) 2, pp. 416-444
Persistent link: https://www.econbiz.de/10014339997
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Model risk in mortality-linked contingent claims pricing
Peters, Gareth; Yan, Hongxuan; Chan, Jennifer So Kuen - In: The journal of risk model validation 16 (2022) 3, pp. 1-53
Persistent link: https://www.econbiz.de/10014540592
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Risk-neutral valuation of GLWB riders in variable annuities
Maggistro, Rosario; Zoccolan, Ivan - In: Insurance : mathematics and economics 114 (2024), pp. 1-14
Persistent link: https://www.econbiz.de/10015049347
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Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
Fergusson, Kevin - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 381-417
Persistent link: https://www.econbiz.de/10012243342
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On the price of risk under a regime switching CGMY process
Asiimwe, Pious; Mahera, Charles Wilson; Menoukeu-Pamen, … - In: Asia-Pacific financial markets 23 (2016) 4, pp. 305-335
Persistent link: https://www.econbiz.de/10011619970
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A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - 2014
Persistent link: https://www.econbiz.de/10011631789
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On ruin probabilities with investments in a risky asset with a regime-switching price
Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897
Persistent link: https://www.econbiz.de/10013440255