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Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
Baños, David; Bølviken, Erik; Duedahl, Sindre; … - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 44-83
Persistent link: https://www.econbiz.de/10012195019
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Forward transition rates
Buchardt, Kristian; Furrer, Christian; Steffensen, Mogens - In: Finance and stochastics 23 (2019) 4, pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
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Reaching a bequest goal with life insurance : ambiguity about the risky asset's drift and mortality's hazard rate
Liang, Xiaoqing; Young, Virginia R. - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 187-221
Persistent link: https://www.econbiz.de/10012194122
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Risk management of variable annuities
Ruez, Frederik - 2017
Persistent link: https://www.econbiz.de/10012659889
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Dynamics of state-wise prospective reserves in the presence of non-monotone information
Christiansen, Marcus C.; Furrer, Christian - In: Insurance / Mathematics & economics 97 (2021), pp. 81-98
Persistent link: https://www.econbiz.de/10012491966
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Optimal investment for a retirement plan with deferred annuities
Owadally, Iqbal; Jang, Chul; Clare, Andrew D. - In: Insurance / Mathematics & economics 98 (2021), pp. 51-62
Persistent link: https://www.econbiz.de/10012545262
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Optimal Annuitization with Stochastic Mortality Probabilities
Reichling, Felix - 2013
The conventional wisdom dating back to Yaari (1965) is that households without a bequest motive should fully annuitize their investments. Numerous market frictions do not break this sharp result. We modify the Yaari framework by allowing a household's mortality risk itself to be stochastic....
Persistent link: https://www.econbiz.de/10013079164
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Scaled insurance cash flows : representation and computation via change of measure techniques
Furrer, Christian - In: Finance and stochastics 26 (2022) 2, pp. 359-382
Persistent link: https://www.econbiz.de/10013197589
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A stochastic Asset Liability Management model for life insurance companies
Di Francesco, Marco; Simonella, Roberta - In: Financial markets and portfolio management 37 (2023) 1, pp. 61-94
Persistent link: https://www.econbiz.de/10014252605
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Optimal withdrawal strategies in GLWB variable annuities
Bacinello, Anna Rita; Maggistro, Rosario; Zoccolan, Ivan - 2022
Persistent link: https://www.econbiz.de/10013341541