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A general asset–liability management model for the efficient simulation of portfolios of life insurance policies
16 references·2 citing·27 second hop
A general asset–liability management model for the efficient simulation of portfolios of life insurance policies (2007)A general asset–liability management mode…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…Market-Valuation Methods in Life and Pension Insurance (2007)Market-Valuation Methods in L…The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The interaction of guarantees…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…Fair valuation of participating policies with surrender options and regime switching (2005)Fair valuation of participati…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…Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guaran…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…Interest Rate Models Theory and Practice (2001)Interest Rate Models Theory a…Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed (2001)Fair Pricing of Life Insuranc…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…Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies (1994)Interest Rate Risk Management…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…The evolution of insurer portfolio investment strategies for long-term investing (2016)The evolution of insurer port…The assets and liabilities gap management of conventional and Islamic banks in the organization of Islamic cooperation (OIC) countries (2014)The assets and liabilities ga…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)An Empirical Study on the Lapse Rate: The Cointegration Approach (2003)Theory of rational option pricing (2005)Closed-Form Approximations for Spread Option Prices and Greeks (2008)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)An equilibrium characterization of the term structure (1977)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Asset Pricing Theory. (1993)Option pricing: A simplified approach (1979)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)Asset Insulators (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option (2003)Options, Futures and Other Derivatives (2003)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Pricing and Hedging Spread Options (2003)A Benchmark Approach to Quantitative Finance (2006)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Interest Rate Models Theory and Practice1,148 cited
  • 2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 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
  • 2001Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed154 cited
  • 1994Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies111 cited
  • 2003Guaranteed Investment Contracts: Distributed and Undistributed Excess Return111 cited
  • 2003Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option107 cited
  • 2002Minimum Rate of Return Guarantees: The Danish Case101 cited
  • 2005Fair valuation of participating policies with surrender options and regime switching100 cited
  • 2006Guarantees in With‐Profit and Unitized With‐Profit Life Insurance Contracts: Fair Valuation Problem in Presence of the Default Option

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96 cited
  • 2007Market-Valuation Methods in Life and Pension Insurance86 cited
  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 cited
  • Cited by

    • 2016The evolution of insurer portfolio investment strategies for long-term investing64 cited
    • 2014The assets and liabilities gap management of conventional and Islamic banks in the organization of Islamic cooperation (OIC) countries17 cited