Showing 1 - 7 of 7
Persistent link: https://www.econbiz.de/10012194488
Persistent link: https://www.econbiz.de/10012058825
Persistent link: https://www.econbiz.de/10001679450
Persistent link: https://www.econbiz.de/10010244607
The use of internal Bank models for meeting capital requirements has been approved for some time. Regulators then face issues of model approval necessitating some public domain analysis of model performance. This paper presents a new approach to risk model evaluation using forward looking risk...
Persistent link: https://www.econbiz.de/10013085017
This paper proposes a market consistent valuation framework for variable annuities with guaranteed minimum accumulation benefit, death benefit and surrender benefit features. The setup is based on a hybrid model for the financial market and uses time-inhomogeneous Lévy processes as risk...
Persistent link: https://www.econbiz.de/10012869799
Persistent link: https://www.econbiz.de/10012262632