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The Fair Premium of an Equity—Linked Life and Pension Insurance
11 references·0 citing·36 second hop
The Fair Premium of an Equity—Linked Life and Pension Insurance (2002)The Fair Premium of an Equity—Linked Life…Pricing Bounds on Asian Options (2003)Pricing Bounds on Asian Optio…Pricing of Asian exchange rate options under stochastic interest rates as a sum of options (2002)Pricing of Asian exchange rat…Exotic Unit-Linked Life Insurance Contracts (1996)Exotic Unit-Linked Life Insur…The value of an Asian option (1995)The value of an Asian optionEquity-linked life insurance: A model with stochastic interest rates (1995)Equity-linked life insurance:…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price (1994)Valuing Asian and Portfolio O…Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The “Lognormal + Vasicek” Case (1994)Single and Periodic Premiums …Pricing equity-linked life insurance with endogenous minimum guarantees (1993)Pricing equity-linked life in…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Brownian Motion and Stochastic Calculus (2007)An Exact Bond Option Formula (1989)Pricing Asian and basket options via Taylor expansion (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Option Pricing: Valuation Models and Applications (2004)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors (2006)Theory of Rational Option Pricing (1973)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Theory of rational option pricing (2005)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001)Hedging guarantees in variable annuities under both equity and interest rate risks (2006)The Value of Guarantees on Pension Fund Returns (1999)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Closed-Form Approximations for Spread Option Prices and Greeks (2008)Static super-replicating strategies for a class of exotic options (2008)A General Closed-Form Spread Option Pricing Formula (2013)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)
this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1995The value of an Asian option532 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1994Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price203 cited
  • 1993Pricing equity-linked life insurance with endogenous minimum guarantees121 cited
  • 2003Pricing Bounds on Asian Options104 cited
  • 1995Equity-linked life insurance: A model with stochastic interest rates92 cited
  • 1996Exotic Unit-Linked Life Insurance Contracts58 cited
  • 1994Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The “Lognormal + Vasicek” Case26 cited
  • 2002Pricing of Asian exchange rate options under stochastic interest rates as a sum of options21 cited

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