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Minimum Rate of Return Guarantees: The Danish Case
7 references·8 citing·34 second hop
Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guarantees: The Da…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Guaranteed Investment Contrac…A theory of bonus in life insurance (1999)A theory of bonus in life ins…A stochastic calculus model of continuous trading: Complete markets (1983)A stochastic calculus model o…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios (2019)Fair valuation of cliquet-sty…Cliquet-style return guarantees in a regime switching Lévy model (2016)Cliquet-style return guarante…Intergenerational Effects of Guaranteed Pension Contracts (2008)Intergenerational Effects of …Fair valuation of insurance contracts under Lévy process specifications (2007)Fair valuation of insurance c…Asset and liability modelling for participating policies with guarantees (2007)Asset and liability modelling…A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)A general asset–liability man…The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The interaction of guarantees…Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2005)Modelling and Valuation of Gu…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Optimal funding and investment strategies in defined contribution pension plans under Epstein-Zin utility (2008)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Theory of the Term Structure of Interest Rates (1985)Monte Carlo Methods in Financial Engineering (2003)The assets and liabilities gap management of conventional and Islamic banks in the organization of Islamic cooperation (OIC) countries (2014)Numerical solution of stochastic differential equations (2016)The evolution of insurer portfolio investment strategies for long-term investing (2016)Theory of Rational Option Pricing (1973)Life Insurance Liabilities at Market Values: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2000)Theory of rational option pricing (2005)Reserves in Life and Pension Insurance (1991)Basic Life Insurance Mathematics (2002)Life Insurance Mathematics (2014)Integral and differential equations for the moments of multistate models in health insurance (2015)Calcul Stochastique et Problèmes de Martingales (1979)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)On the pricing of American options (1988)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Option pricing and Esscher transform under regime switching (2005)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)On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)
this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1983A stochastic calculus model of continuous trading: Complete markets431 cited
  • 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return111 cited
  • 1999A theory of bonus in life insurance58 cited

Cited by

  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 cited
  • 2007A general asset–liability management model for the efficient simulation of portfolios of life insurance policies68 cited
  • 2005Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts41 cited
  • 2007Asset and liability modelling for participating policies with guarantees37 cited
  • 2007Fair valuation of insurance contracts under Lévy process specifications32 cited
  • 2016Cliquet-style return guarantees in a regime switching Lévy model23 cited
  • 2019Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios

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23 cited
  • 2008Intergenerational Effects of Guaranteed Pension Contracts16 cited