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Hedging of unit-linked life insurance contracts with unobservable mortality hazard rate via local risk-minimization

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 60 (2015), pp. 47-60

Persistent link: https://www.econbiz.de/10010484834

Defaultable claims in switching models with partial information

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10012030897

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

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

Default-risky bond prices with jumps, liquidity risk and incomplete information

Jeanblanc, Monique; Valchev, Stoyan - In: Decisions in economics and finance : DEF ; a journal of … 30 (2007) 2, pp. 109-136

Persistent link: https://www.econbiz.de/10003630273

Optimal selling of an asset with jumps under incomplete information

Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610

Persistent link: https://www.econbiz.de/10010235555

Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications

Chiarella, Carl - 2010

This paper studies the impact of stochastic volatility (SV) on optimal investment decisions. We consider three different SV models: an extended Stein/Stein model, the Heston Model and an extended Heston Model with a constant elasticity variance (CEV) process and derive the long-term optimal...

Persistent link: https://www.econbiz.de/10013136824

Non-linear filtering and optimal investment under partial information for stochastic volatility models

Ibrahim, Dalia; Abergel, Frédérik - In: Mathematical methods of operations research 87 (2018) 3, pp. 311-346

Persistent link: https://www.econbiz.de/10011874006

A BSDE-based approach for the optimal reinsurance problem under partial information

Brachetta, M.; Ceci, C. - In: Insurance / Mathematics & economics 95 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012419211

Less-expensive long-term annuities linked to mortality, cash and equity

Fergusson, Kevin; Platen, Eckhard - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 170-207

Persistent link: https://www.econbiz.de/10014306947