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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

Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models

Ai, Meiqiao; Zhang, Zhimin; Zhu, Dan - In: Scandinavian actuarial journal 2023 (2023) 4, pp. 330-358

Persistent link: https://www.econbiz.de/10014336388

Quadratic hedging of equity-linked life insurance contracts under the real-world measure in discrete time

Glazyrina, Anna; Melʹnikov, Aleksandr V. - In: Risk and decision analysis 6 (2017) 2, pp. 167-175

Persistent link: https://www.econbiz.de/10011743830

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

Pricing and hedging defaultable participating contracts with regime switching and jump risk

Le Courtois, Olivier; Quittard-Pinon, François; Su, … - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 303-339

Persistent link: https://www.econbiz.de/10012285401

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

Valuing customer portfolios with endogenous mass-and-direct-marketing interventions using a stochastic dynamic programming decomposition

Esteban-Bravo, Mercedes; Vidal-Sanz, José M.; … - 2012

Persistent link: https://www.econbiz.de/10009685227

Pricing and hedging variable annuity guarantees with multiasset stochastic investment models

Cheuk-yin Ng, Andrew; Siu-hang Li, Johnny - In: North American actuarial journal 17 (2013) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10010259822