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A Stochastic Investment Model for Actuarial Use
3 references·16 citing·54 second hop
A Stochastic Investment Model for Actuarial Use (1984)A Stochastic Investment Model for Actuari…A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Monetary Trends in the United States and the United Kingdom (1982)Monetary Trends in the United…An equilibrium characterization of the term structure (1977)An equilibrium characterizati…Conditional Indexation in Defined Benefit Pension Plans (2006)Conditional Indexation in Def…After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures (2006)After VaR: The Theory, Estima…The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (2003)The stable non-Gaussian asset…Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options (2003)Reserving, Pricing and Hedgin…Global Asset Liability Management (2003)Global Asset Liability Manage…Bayesian Risk Management for Equity-Linked Insurance (2002)Bayesian Risk Management for …Hedging and Reserving for Single-Premium Segregated Fund Contracts (2000)Hedging and Reserving for Sin…On the ruin probabilities in a general economic environment (1999)On the ruin probabilities in …Ruin theory with compounding assets — a survey (1998)Ruin theory with compounding …The Financial Theory of Defined Benefit Pension Schemes (1997)The Financial Theory of Defin…Stochastic Analysis of the Interaction Between Investment and Insurance Risks (1997)Stochastic Analysis of the In…Reserving for maturity guarantees: Two approaches (1997)Reserving for maturity guaran…A Review of Wilkie's Stochastic Asset Model (1997)A Review of Wilkie's Stochast…Report on the Wilkie stochastic investment model (1992)Report on the Wilkie stochast…Stochastic investment models—theory and applications (1987)Stochastic investment models—…An option pricing approach to bonus policy. 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this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1982Monetary Trends in the United States and the United Kingdom701 cited

Cited by

  • 2006After VaR: The Theory, Estimation, and Insurance Applications of Quantile‐Based Risk Measures174 cited
  • 1997The Financial Theory of Defined Benefit Pension Schemes140 cited
  • 1997Reserving for maturity guarantees: Two approaches139 cited
  • 1999On the ruin probabilities in a general economic environment112 cited
  • 2006Conditional Indexation in Defined Benefit Pension Plans95 cited
  • 2003Global Asset Liability Management94 cited
  • 1998Ruin theory with compounding assets — a survey82 cited
  • 2003Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options70 cited
  • 2000Hedging and Reserving for Single-Premium Segregated Fund Contracts66 cited
  • 1997Stochastic Analysis of the Interaction Between Investment and Insurance Risks62 cited
  • 2003The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach54 cited
  • 1992Report on the Wilkie stochastic investment model

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42 cited
  • 1987An option pricing approach to bonus policy. In memoriam Anthony P. Limb39 cited
  • 2002Bayesian Risk Management for Equity-Linked Insurance39 cited
  • 1997A Review of Wilkie's Stochastic Asset Model38 cited
  • 1987Stochastic investment models—theory and applications38 cited