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Optimal dividends and ALM under unhedgeable risk

Pelsser, Antoon André Jean; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 515-523

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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

van Haastrecht, Alexander; Plat, Richard; Pelsser, … - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 266-277

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Efficient, almost exact simulation of the heston stochastic volatility model

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Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

van Haastrecht, Alexander; Lord, Roger; Pelsser, Antoon … - In: Insurance / Mathematics & economics 45 (2009) 3, pp. 436-448

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Investing towards an exogenous reference level using a lower partial moments criterion

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Valuation of Guaranteed Annuity Options Using a Stochastic Volatility Model for Equity Prices

van Haastrecht, Alexander - 2010

Guaranteed Annuity Options are options providing the right to convert a policyholder's accumulated funds to a life annuity at a fixed rate when the policy matures. These options were a common feature in UK retirement savings contracts issued in the 1970's and 1980's when interest rates were...

Persistent link: https://www.econbiz.de/10013138527