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The uncertain mortality intensity framework : pricing and hedging unit-linked life insurance contracts
Li, Jing; Szimayer, Alexander - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 471-486
Persistent link: https://www.econbiz.de/10009404681
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The Uncertain Mortality Intensity Framework : Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing - 2011
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...
Persistent link: https://www.econbiz.de/10013133309
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Essays in financial risk management
Seidel, Henry - 2017
Persistent link: https://www.econbiz.de/10012237908
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Essays in financial risk management and derivative pricing
Herbener, Michael - 2016
Persistent link: https://www.econbiz.de/10012309291
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The uncertain mortality intensity framework : pricing and hedging unit-linked life insurance contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...
Persistent link: https://www.econbiz.de/10003987820
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Futures cross-hedging with a stationary basis
Ankirchner, Stefan; Dimitroff, Georgi; Heyne, Gregor; … - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 6, pp. 1361-1395
Persistent link: https://www.econbiz.de/10009728904
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The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Li, Jing; Szimayer, Alexander - 2010
We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...
Persistent link: https://www.econbiz.de/10010270425