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On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View
16 references·4 citing·33 second hop
On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010)On the Risk-Neutral Valuation of Life Ins…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)Fair valuation of life insura…The exercise and valuation of executive stock options (1998)The exercise and valuation of…On cox processes and credit risky securities (1998)On cox processes and credit r…Processes of normal inverse Gaussian type (1997)Processes of normal inverse G…A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The pricing of equity-linked life insurance policies with an asset value guarantee (1976)The pricing of equity-linked …The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours (2014)The valuation of GMWB variabl…Mathematical analysis of different approaches for replicating portfolios (2014)Mathematical analysis of diff…On the Calculation of the Solvency Capital Requirement Based on Nested Simulations (2012)On the Calculation of the Sol…A joint valuation of premium payment and surrender options in participating life insurance contracts (2011)A joint valuation of premium …An Intertemporal Capital Asset Pricing Model (1973)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Tails, Fears, and Risk Premia (2011)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Estimating quadratic variation using realized variance (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Stochastic Integration and Differential Equations (2005)Martingales and arbitrage in multiperiod securities markets (1979)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Arbitrage Theory in Continuous Time (1998)Facts and Fantasies about Commodity Futures (2006)A critical review on supply chain risk – Definition, measure and modeling (2014)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Affine processes and applications in finance (2003)Credit Risk: Modeling, Valuation and Hedging (2004)
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References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1997Processes of normal inverse Gaussian type1,224 cited
  • 1998On cox processes and credit risky securities1,213 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 1998The exercise and valuation of executive stock options436 cited

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2000
Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
399 cited

Cited by

  • 2012On the Calculation of the Solvency Capital Requirement Based on Nested Simulations84 cited
  • 2014The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours40 cited
  • 2014Mathematical analysis of different approaches for replicating portfolios23 cited
  • 2011A joint valuation of premium payment and surrender options in participating life insurance contracts19 cited