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Analytical calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan
;
Volkmer, Hans W.
- In:
Insurance / Mathematics & economics
51
(
2012
)
3
,
pp. 636-648
Persistent link: https://www.econbiz.de/10009683199
Saved in:
2
Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
Feng, Runhuan
;
Volkmer, Hans W.
- In:
Insurance / Mathematics & economics
51
(
2012
)
2
,
pp. 409-421
Persistent link: https://www.econbiz.de/10009672175
Saved in:
3
An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
Feng, Runhuan
;
Volkmer, Hans W.
- In:
Mathematics and financial economics
10
(
2016
)
2
,
pp. 127-149
Persistent link: https://www.econbiz.de/10011485899
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4
Conditional Asian options
Feng, Runhuan
;
Volkmer, Hans W.
- In:
International journal of theoretical and applied finance
18
(
2015
)
6
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011403926
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5
An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
Feng, Runhuan
- In:
Insurance / Mathematics & economics
48
(
2011
)
2
,
pp. 304-313
Persistent link: https://www.econbiz.de/10008989314
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6
On the total operating costs up to default in a renewal risk model
Feng, Runhuan
- In:
Insurance / Mathematics & economics
45
(
2009
)
2
,
pp. 305-314
Persistent link: https://www.econbiz.de/10009517563
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7
A comparative study of risk measures for guaranteed minimum maturity benefits by a PDE method
Feng, Runhuan
- In:
North American actuarial journal
18
(
2014
)
4
,
pp. 445-461
Persistent link: https://www.econbiz.de/10011338987
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8
An introduction to computational risk management of equity-linked insurance
Feng, Runhuan
-
2018
Persistent link: https://www.econbiz.de/10011843606
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9
Variable annuity pricing, valuation, and risk management : a survey
Feng, Runhuan
;
Gan, Guojun
;
Zhang, Ning
- In:
Scandinavian actuarial journal
2022
(
2022
)
10
,
pp. 867-900
Persistent link: https://www.econbiz.de/10013491041
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10
Coping with longevity via hedging : fair dynamic valuation of variable annuities
Chen, Ze
;
Feng, Runhuan
;
Li, Hong
;
Yang, Tianyu
- In:
Insurance : mathematics and economics
117
(
2024
),
pp. 154-169
Persistent link: https://www.econbiz.de/10015066964
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