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A benchmark approach to risk-minimization under partial information

Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 55 (2014), pp. 129-146

Persistent link: https://www.econbiz.de/10010366196

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

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

Persistent link: https://www.econbiz.de/10008747073

The time of deducting fees for variable annuities under the state-dependent fee structure

Zhou, Jiang; Wu, Lan - In: Insurance / Mathematics & economics 61 (2015), pp. 125-134

Persistent link: https://www.econbiz.de/10010515907

Indifference pricing of pure endowments and life annuities under stochastic hazard and interest rates

Ludkovski, Michael; Young, Virginia R. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 14-30

Persistent link: https://www.econbiz.de/10003681582

Wertorientierte Steuerung von Versicherungsunternehmen mittels stochastischer Modelle

Pohl, Philipp - 2009

Persistent link: https://www.econbiz.de/10003794653

Stochastic programming models for strategic and tactical asset allocation : a study from Norwegian life insurance

Høyland, Kjetil; Wallace, Stein W. - 2007

Persistent link: https://www.econbiz.de/10003523278

Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization

Luo, Xiaolin; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 62 (2015), pp. 5-15

Persistent link: https://www.econbiz.de/10011312092

A unified pricing of variable annuity guarantees under the optimal stochastic control framework

Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31

In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in many countries. Investors purchase these products to take advantage of market growth and protect savings. We present pricing of these products via an optimal stochastic control...

Persistent link: https://www.econbiz.de/10011507624

Max-min optimization problem for variable annuities pricing

Blanchet-Scalliet, Christophette; Chevalier, Etienne; … - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-35

Persistent link: https://www.econbiz.de/10011419373