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Efficient hedging for equity-linked life insurance contracts with stochastic interest rate

Melʹnikov, Aleksandr V.; Tong, Shuo - In: Risk and decision analysis 4 (2013) 3, pp. 207-223

Persistent link: https://www.econbiz.de/10010190153

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10012293140

An insurance risk model with stochastic volatility

Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003953303

Uniqueness of the fair premium for equity-linked life insurance contracts

Aase Nielsen, Jørgen - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 65-102

Persistent link: https://www.econbiz.de/10001334891

Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy

Gao, Quansheng; He, Ting; Zhang, Chi - In: Economic modelling 28 (2011) 1/2, pp. 147-156

Persistent link: https://www.econbiz.de/10009270040

Quantile hedging in models with dividends and application to equity-linked life insurance contracts

Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Mathematics and financial economics 14 (2020) 2, pp. 207-224

Persistent link: https://www.econbiz.de/10012240110

Quantifizierung von Kreditportfoliorisiken : eine Untersuchung zu Modellalternativen und Anwendungsfeldern

Bröker, Frank - 2000

Persistent link: https://www.econbiz.de/10001506939

Zur Bewertung von Wetterderivaten als innovative Risikomanagementinstrumente in der Landwirtschaft

Mußhoff, Oliver; Odening, Martin; Xu, Wei - In: Agrarwirtschaft : Zeitschrift für Betriebswirtschaft, … 54 (2005) 4, pp. 197-209

Die Bedeutung des Wetters als Risikofaktor in der Landwirtschaft ist seit langem bekannt. Zur Reduzierung wetterbedingter Risiken wurden in den letzten Jahren insbesondere Ertragsausfallversicherungen diskutiert. Ein relativ neues Instrument zur Steuerung des Mengenrisikos stellen sog....

Persistent link: https://www.econbiz.de/10015137707

On a discrete-time risk model with claim correlated premiums

Wu, Xueyuan; Chen, Mi; Guo, Junyi; Jin, Can - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 322-342

Persistent link: https://www.econbiz.de/10011542048

Estimating loss-given default through advanced credibility theory

Bonini, Stefano; Caivano, Giuliana - In: The European journal of finance 22 (2016) 13/15, pp. 1351-1362

Persistent link: https://www.econbiz.de/10011715432