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Long-term returns in stochastic interest rate models

Deelstra, Griselda - In: Selected papers of the International Conference on …, (pp. 280-283). 1995

Persistent link: https://www.econbiz.de/10001315786

Pricing variable annuity guarantees in a local volatility framework

Deelstra, Griselda; Rayée, Grégory - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 650-663

Persistent link: https://www.econbiz.de/10010227910

The role of the dependence between mortality and interest rates when pricing guaranteed annuity options

Deelstra, Griselda; Grasselli, Martino; Van Weverberg, … - In: Insurance / Mathematics & economics 71 (2016), pp. 205-219

Persistent link: https://www.econbiz.de/10011630651

A multi-curve HJM factor model for pricing and risk management

Bienek, Tobias; Deelstra, Griselda; Lichtenstern, Andreas; … - In: Quantitative finance 23 (2023) 11, pp. 1659-1675

Persistent link: https://www.econbiz.de/10014419185

Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010464782

Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Detecting time-variation in corporate bond index returns : a smooth transition regression model

Chen, XiaoHua; Maringer, Dietmar G. - In: Journal of banking & finance 35 (2011) 1, pp. 95-103

Persistent link: https://www.econbiz.de/10009244436

Stamp characteristics and long-term return after issuance : evidence from new China stamps

Chen, Xin; Chen, Xian - In: China finance review international 2 (2012) 4, pp. 351-376

Persistent link: https://www.econbiz.de/10009625749

On the concentration of mutual fund portfolio holdings : evidence from Taiwan

Chen, XiaoHua; Lai, Yun-Ju - In: Research in international business and finance 33 (2015), pp. 268-286

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Stock returns and economic forces : an empirical investigation of Chinese markets

Chen, Xiaoyu; Chiang, Thomas C. - In: Global finance journal 30 (2016), pp. 45-65

Persistent link: https://www.econbiz.de/10011714620