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Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance
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Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance (2009)Efficient deterministic numerical simulat…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Multilevel Monte Carlo Path Simulation (2008)Multilevel Monte Carlo Path S…Numerical Methods for Finance (2007)Numerical Methods for FinanceMarket-Valuation Methods in Life and Pension Insurance (2007)Market-Valuation Methods in L…A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)A general asset–liability man…Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option (2006)Guarantees in With‐Profit and…Numerical Methods in Finance (2005)Numerical Methods in FinanceOn accounting standards and fair valuation of life insurance and pension liabilities (2004)On accounting standards and f…Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Pricing Guaranteed Life Insur…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Guaranteed Investment Contrac…Fair valuation of path-dependent participating life insurance contracts (2003)Fair valuation of path-depend…Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities (2001)A Finite Difference Approach …Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Minimum Rate of Return Guarantees: The Danish Case (2002)Theory of rational option pricing (2005)The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The pricing of equity-linked life insurance policies with an asset value guarantee (1976)A Lévy process-based framework for the fair valuation of participating life insurance contracts (2004)Excess of loss reinsurance under joint survival optimality (2006)The cost of capital, corporation finance and the theory of investment (2008)An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)Fair valuation of participating policies with surrender options and regime switching (2005)How Deep Is the Annuity Market Participation Puzzle? (2010)“Options, Futures, and Other Derivatives” (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Multi-level Monte Carlo Finite Element method for elliptic PDEs with stochastic coefficients (2011)Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients (2012)Optimal Model Management for Multifidelity Monte Carlo Estimation (2016)Option pricing: A simplified approach (1979)Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Realized power variation and stochastic volatility models (2003)Duration Dependence in Stock Prices (2004)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Application of Data Clustering and Machine Learning in Variable Annuity Valuation (2013)Research on lapse in life insurance: what has been done and what needs to be done? (2013)
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References

  • 2016Numerical solution of stochastic differential equations5,096 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2008Multilevel Monte Carlo Path Simulation1,445 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 cited
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return111 cited
  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
  • 2006Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option96 cited
  • 2001A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities86 cited
  • 2007Market-Valuation Methods in Life and Pension Insurance86 cited
  • 2003Fair valuation of path-dependent participating life insurance contracts79 cited
  • 2007A general asset–liability management model for the efficient simulation of portfolios of life insurance policies68 cited
  • 2007Numerical Methods for Finance

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56 cited
  • 2004On accounting standards and fair valuation of life insurance and pension liabilities53 cited
  • 2005Numerical Methods in Finance41 cited
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