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Best-estimates in bond markets with reinvestment risk
MacKay, Anne; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 3, pp. 250-276
The concept of best-estimate, prescribed by regulators to value insurance liabilities for accounting and solvency purposes, has recently been discussed extensively in the industry and related academic literature. To differentiate hedgeable and non-hedgeable risks in a general case, recent...
Persistent link: https://www.econbiz.de/10011300314
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Pricing and hedging of variable annuities with state-dependent fees
Delong, Łukasz - In: Insurance / Mathematics & economics 58 (2014), pp. 24-33
Persistent link: https://www.econbiz.de/10010437640
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Optimal investment for a defined-contribution pension scheme under a regime switching model
Chen, An; Delong, Łukasz - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 397-419
Persistent link: https://www.econbiz.de/10011312280
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Fair valuation of insurance liability cash-flow streams in continuous time : theory
Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Insurance / Mathematics & economics 88 (2019), pp. 196-208
Persistent link: https://www.econbiz.de/10012105568
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Fair valuation of insurance liability cash-flow streams in continuous time : applications
Delong, Łukasz; Dhaene, Jan; Barigou, Karim - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 299-333
Persistent link: https://www.econbiz.de/10012056592
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Practical and theoretical aspects of market-consistent valuation and hedging of insurance liabilities
Delong, Łukasz - In: Bank i kredyt 42 (2011) 1, pp. 49-78
Persistent link: https://www.econbiz.de/10008906090
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Issues with the Smith-Wilson method
Lagerås, Andreas; Lindholm, Mathias - In: Insurance / Mathematics & economics 71 (2016), pp. 93-102
Persistent link: https://www.econbiz.de/10011630613