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Fair Valuation of Participating Life Insurance Contracts with Jump Risk
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Fair Valuation of Participating Life Insurance Contracts with Jump Risk (2008)Fair Valuation of Participating Life Insu…Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Power Laws in Economics and Finance (2008)Power Laws in Economics and F…Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Disentangling diffusion from jumps (2004)Disentangling diffusion from …The minimal entropy martingale measures for geometric L�vy processes (2003)The minimal entropy martingal…Investment guarantees : modeling and risk management for equity-linked life insurance (2003)Investment guarantees : model…First passage times of a jump diffusion process (2003)First passage times of a jump…Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Fair Valuation of a Guarantee…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2002)Life Insurance Liabilities at…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)VALUING CORPORATE SECURITIES:…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)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Why Does Stock Market Volatility Change Over Time? (1989)The Determinants of Credit Spread Changes (2001)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Theory of rational option pricing (2005)An Engine, Not a Camera (2006)The Behavior of Stock-Market Prices (1965)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Copula Modeling: An Introduction for Practitioners (2007)Conditional Time Series Forecasting with Convolutional Neural Networks (2017)Option pricing when underlying stock returns are discontinuous (1976)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Human behavior and the principle of least effort (1949)The Impact of Trade on Intra-Industry Reallocations and Aggregate Industry Productivity (2003)The Granular Origins of Aggregate Fluctuations (2011)Top Incomes in the Long Run of History (2011)Tail Risk and Asset Prices (2014)Power-law distributions in empirical data (2018)Limit Theorems for Stochastic Processes (2003)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Modeling financial contagion using mutually exciting jump processes (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Modelling of extremal events in insurance and finance (1994)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)
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References

  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS2,422 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2004Insurance: Mathematics and Economics1,332 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2008Power Laws in Economics and Finance487 cited
  • 2003First passage times of a jump diffusion process435 cited
  • 2004Disentangling diffusion from jumps362 cited
  • 2003Investment guarantees : modeling and risk management for equity-linked life insurance269 cited
  • 2002Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework217 cited
  • 1997On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls190 cited
  • 2003Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option

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177 cited
  • 2003The minimal entropy martingale measures for geometric L�vy processes172 cited
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