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Risk allocation through shapley decompositions, with applications to variable annuities

Godin, Frédéric; Hamel, Emmanuel; Gaillardetz, Patrice; … - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 311-331

Persistent link: https://www.econbiz.de/10014320258

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

Computing best bounds for nonlinear risk measures with partial information

Wong, Man Hong; Zhang, Shuzhong - In: Insurance / Mathematics & economics 52 (2013) 2, pp. 204-212

Persistent link: https://www.econbiz.de/10009736115

Local risk-minimization under the benchmark approach

Biagini, Francesca; Cretarola, Alessandra; Platen, Eckhard - In: Mathematics and financial economics 8 (2014) 2, pp. 109-134

Persistent link: https://www.econbiz.de/10010341774

Risk analysis of annuity conversion options with a special focus on decomposing risk

Schilling, Katja - 2017

Persistent link: https://www.econbiz.de/10011898170

Decomposing dynamic risks into risk components

Schilling, Katja; Bauer, Daniel - In: Management science : journal of the Institute for … 66 (2020) 12, pp. 5738-5756

Persistent link: https://www.econbiz.de/10012391415

Risk-minimization for life insurance liabilities with dependent mortality risk

Biagini, Francesca; Botero, Camila; Schreiber, Irene - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 505-533

Persistent link: https://www.econbiz.de/10011752521

Actuarial applications and estimation of extended CreditRisk+

Hirz, Jonas; Schmock, Uwe; Shevchenko, Pavel V. - In: Risks : open access journal 5 (2017) 2, pp. 1-29

risk model CreditRisk+. This allows exact risk aggregation via an efficient numerically stable Panjer recursion algorithm …. Furthermore, the model allows exact (without Monte Carlo simulation error) calculation of risk measures and their sensitivities … with respect to model parameters for P&L distributions such as value-at-risk and expected shortfall. Numerous examples …

Persistent link: https://www.econbiz.de/10011643397

A parametric model to price a portfolio of single-premium life insurance policies and to decompose its longevity risk

Ferrentino, Rosa; Vota, Luca - In: International journal of economics and business … 23 (2022) 3, pp. 368-388

Persistent link: https://www.econbiz.de/10013253505