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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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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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Cliquet-style return guarantees in a regime switching Lévy model
Hieber, Peter - In: Insurance / Mathematics & economics 72 (2017), pp. 138-147
Persistent link: https://www.econbiz.de/10011694412
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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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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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Cliquet-Style Return Guarantees in a Regime Switching Lévy Model
Hieber, Peter - 2016
-term financial contracts, the inclusion of macroeconomic changes is a relevant risk driver for (long-term) insurance contracts. This …
Persistent link: https://www.econbiz.de/10012987244
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112
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Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims
Fu, Ke-ang; Ng, Cheuk Yin Andrew - In: Insurance / Mathematics & economics 56 (2014), pp. 80-87
Persistent link: https://www.econbiz.de/10010385027
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Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050
Persistent link: https://www.econbiz.de/10012262961