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A managed volatility investment strategy for pooled annuity products

Li, Shuanglan; Labit Hardy, Héloïse; Sherris, Michael; … - In: Risks : open access journal 10 (2022) 6, pp. 1-30

Pooled annuity products, where the participants share systematic and idiosyncratic mortality risks as well as …

Persistent link: https://www.econbiz.de/10013363078

A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

Persistent link: https://www.econbiz.de/10011848596

Volterra mortality model : actuarial valuation and risk management with long-range dependence

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012482737

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an …

Persistent link: https://www.econbiz.de/10012293140

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

Cui, Zhenyu; Kirkby, J. Lars; Nguyen, Duy - In: Insurance / Mathematics & economics 74 (2017), pp. 46-62

Persistent link: https://www.econbiz.de/10011712358

Variance and interest rate risk in unit-linked insurance policies

Baños, David; Lagunas-Merino, Marc; Ortiz-Latorre, Salvador - In: Risks : open access journal 8 (2020) 3/84, pp. 1-23

hedging strategy by completing the market. We conclude with a simulation experiment, where we price unit-linked policies using … Norwegian mortality rates. In addition, we compare prices for the classical Black-Scholes model against the Heston stochastic …

Persistent link: https://www.econbiz.de/10012293269

Pricing Ruin Contingent Life Annuity Under Stochastic Volatility

Rong, Ning - 2012

Purpose of this paper: In this paper we consider the dynamics of the risky portfolio follows jump diffusion process, and the Ruin contingent life annuity (RCLA) contract under the Heston stochastic volatility framework is priced. By comparison to the literatures, we aim to illustrate that, by...

Persistent link: https://www.econbiz.de/10013102843

Valuing inflation-linked death benefits under a stochastic volatility framework

Liang, Zongxia; Sheng, Wenlong - In: Insurance / Mathematics & economics 69 (2016), pp. 45-58

Persistent link: https://www.econbiz.de/10011530922

An insurance risk model with stochastic volatility

Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003953303