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An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit

Feng, Runhuan; Volkmer, Hans W. - In: Mathematics and financial economics 10 (2016) 2, pp. 127-149

Persistent link: https://www.econbiz.de/10011485899

Conditional Asian options

Feng, Runhuan; Volkmer, Hans W. - In: International journal of theoretical and applied finance 18 (2015) 6, pp. 1-24

Persistent link: https://www.econbiz.de/10011403926

An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models

Feng, Runhuan - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 304-313

Persistent link: https://www.econbiz.de/10008989314

Variable annuity pricing, valuation, and risk management : a survey

Feng, Runhuan; Gan, Guojun; Zhang, Ning - In: Scandinavian actuarial journal 2022 (2022) 10, pp. 867-900

Persistent link: https://www.econbiz.de/10013491041

Quantitative modeling of risk management strategies : stochastic reserving and hedging of variable annuity guaranteed benefits

Feng, Runhuan; Yi, Bingji - In: Insurance / Mathematics & economics 85 (2019), pp. 60-73

Persistent link: https://www.econbiz.de/10011990615

Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits

Feng, Runhuan; Jing, Xiaochen - In: Insurance / Mathematics & economics 72 (2017), pp. 36-48

Persistent link: https://www.econbiz.de/10011691495

Exponential Functionals of Levy Processes and Variable Annuity Guaranteed Benefits

Feng, Runhuan - 2019

Exponential functionals of Brownian motion have been extensively studied in nancial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of mathematical tractability, yet empirical evidence shows...

Persistent link: https://www.econbiz.de/10012895955