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Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
12 references·9 citing·30 second hop
Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Guaranteed Investment Contracts: Distribu…Theory of rational option pricing (2005)Theory of rational option pri…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…Pricing rate of return guarantees in a Heath–Jarrow–Morton framework (1999)Pricing rate of return guaran…Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products (1997)Valuation of the Minimum Guar…Valuation of Early Exercisable Interest Rate Guarantees (1997)Valuation of Early Exercisabl…On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls (1997)On the Risk of Insurance Liab…Pricing of Unit-linked Life Insurance Policies (1994)Pricing of Unit-linked Life I…Continuous-Time Finance. (1991)Continuous-Time Finance.Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee (1979)Alternative Investment Strate…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Variable annuities and the option to seek risk: Why should you diversify? (2012)Variable annuities and the op…On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation…On the optimal design of insurance contracts with guarantees (2010)On the optimal design of insu…Fair valuation of insurance contracts under Lévy process specifications (2007)Fair valuation of insurance c…The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies (2006)The interaction of guarantees…Pricing and hedging guaranteed annuity options via static option replication (2003)Pricing and hedging guarantee…Minimum Rate of Return Guarantees: The Danish Case (2002)Minimum Rate of Return Guaran…Intervention options in life insurance (2002)Intervention options in life …Life Insurance Liabilities at Market Values: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework (2000)Life Insurance Liabilities at…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An equilibrium characterization of the term structure (1977)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)Modelling and Valuation of Guarantees in With-Profit and Unitised with Profit Life Insurance Contracts (2005)Dynamic Asset Pricing Theory. (1993)Equity-linked life insurance: A model with stochastic interest rates (1995)Risk-minimizing hedging strategies for insurance payment processes (2001)Risk-neutral valuation of participating life insurance contracts (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)Under pressure: how the business environment affects productivity and efficiency of European life insurance companies (2016)Asset Insulators (2020)Hedging Equity-Linked Life Insurance Contracts (2001)Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs (2002)Premium Principles (2004)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 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
  • 1994Pricing of Unit-linked Life Insurance Policies132 cited
  • 1979Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee116 cited
  • 1997Valuation of Early Exercisable Interest Rate Guarantees95 cited
  • 1999Pricing rate of return guarantees in a Heath–Jarrow–Morton framework64 cited
  • 1997Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products57 cited

Cited by

  • 2002Minimum Rate of Return Guarantees: The Danish Case101 cited
  • 2006The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies85 cited

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2000
Life Insurance Liabilities at Market Values: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework
43 cited
  • 2010On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View42 cited
  • 2002Intervention options in life insurance41 cited
  • 2007Fair valuation of insurance contracts under Lévy process specifications32 cited
  • 2010On the optimal design of insurance contracts with guarantees31 cited
  • 2003Pricing and hedging guaranteed annuity options via static option replication31 cited
  • 2012Variable annuities and the option to seek risk: Why should you diversify?19 cited