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On transformations of actuarial valuation principles
16 references·2 citing·37 second hop
On transformations of actuarial valuation principles (2001)On transformations of actuarial valuation…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…On the minimal entropy martingale measure (2002)On the minimal entropy martin…Hedging Equity-Linked Life Insurance Contracts (2001)Hedging Equity-Linked Life In…From actuarial to financial valuation principles (2001)From actuarial to financial v…Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Mean‐Variance Hedging and Numéraire (1998)Mean‐Variance Hedging and Num…Mean-variance hedging for continuous processes: New proofs and examples (1998)Mean-variance hedging for con…On $L^2$-projections on a space of stochastic integrals (1997)On $L^2$-projections on a spa…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…Approximation pricing and the variance-optimal martingale measure (1996)Approximation pricing and the…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Pricing of Unit-linked Life Insurance Policies (1994)Pricing of Unit-linked Life I…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Hedging of non-redundant contingent claims (1985)Hedging of non-redundant cont…Insurance premiums: Theory and applications (1984)Insurance premiums: Theory an…Hedging with a correlated asset: Solution of a nonlinear pricing PDE (2006)Hedging with a correlated ass…Indifference pricing of insurance contracts in a product space model (2003)Indifference pricing of insur…The Pricing of Options and Corporate Liabilities (1973)Martingales and stochastic integrals in the theory of continuous trading (1981)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of rational option pricing (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Theory of Rational Option Pricing (1973)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Martingales and arbitrage in multiperiod securities markets (1979)Continuous Martingales and Brownian Motion (1999)On the Existence of Minimax Martingale Measures (2002)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market (2004)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)Guaranteed Investment Contracts: Distributed and Undistributed Excess Return (2003)Calcul Stochastique et Problèmes de Martingales (1979)A general version of the fundamental theorem of asset pricing (1994)The cumulant process and Esscher's change of measure (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Stochastic Differential Equations and Diffusion Processes (1983)Arbitrage Theory in Continuous Time (1998)The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds (2001)Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option (2003)Actuarial mathematics for life contingent risks (2010)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Option hedging for semimartingales (1991)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approach (2000)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 1985Hedging of non-redundant contingent claims459 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
  • 1996The Variance-Optimal Martingale Measure for Continuous Processes192 cited
  • 1998Mean‐Variance Hedging and Numéraire179 cited
  • 1994Pricing of Unit-linked Life Insurance Policies132 cited
  • 1984Insurance premiums: Theory and applications131 cited
  • 1998Mean-variance hedging for continuous processes: New proofs and examples127 cited
  • 2002On the minimal entropy martingale measure123 cited
  • 1997On $L^2$-projections on a space of stochastic integrals93 cited
  • 2001Hedging Equity-Linked Life Insurance Contracts76 cited
  • 2001From actuarial to financial valuation principles

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  • 2003Indifference pricing of insurance contracts in a product space model30 cited
  • 2006Hedging with a correlated asset: Solution of a nonlinear pricing PDE25 cited