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Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options
16 references·5 citing·33 second hop
Reserving, Pricing and Hedging For Policies with Guaranteed Annuity Options (2003)Reserving, Pricing and Hedging For Polici…Valuation of guaranteed annuity conversion options (2003)Valuation of guaranteed annui…Coherent Measures of Risk (1999)Coherent Measures of RiskA synthesis of risk measures for capital adequacy (1999)A synthesis of risk measures …Reserving for maturity guarantees: Two approaches (1997)Reserving for maturity guaran…Interest-rate option models (1996)Interest-rate option modelsFinancial Calculus (1996)Financial CalculusMore on a Stochastic Asset Model for Actuarial Use (1995)More on a Stochastic Asset Mo…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…Options, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaLoss Distributions (1984)Loss DistributionsA Stochastic Investment Model for Actuarial Use (1984)A Stochastic Investment Model…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 pricing of commodity contracts (1976)The pricing of commodity cont…Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (2015)Mortality modelling with regi…The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans (2009)The Impact of Longevity Risk …A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING (2004)A FAMILY OF TERM‐STRUCTURE MO…Pricing and hedging guaranteed annuity options via static option replication (2003)Pricing and hedging guarantee…Guaranteed Annuity Options (2003)Guaranteed Annuity OptionsThe Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)An Intertemporal Capital Asset Pricing Model (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)Modeling Term Structures of Defaultable Bonds (1999)Common factors in international bond returns (2003)The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes (2011)Interest‐Rate Modelling (2014)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (2000)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)The Econometrics of Financial Markets (1998)Numerical Solution of Stochastic Differential Equations (2016)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1996Financial Calculus313 cited
  • 1996Interest-rate option models275 cited
  • 1995More on a Stochastic Asset Model for Actuarial Use271 cited
  • 1984A Stochastic Investment Model for Actuarial Use255 cited
  • 1984Loss Distributions245 cited
  • 1999A synthesis of risk measures for capital adequacy181 cited
  • 1997Reserving for maturity guarantees: Two approaches139 cited
  • 2003Valuation of guaranteed annuity conversion options108 cited

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Cited by

  • 2003Guaranteed Annuity Options143 cited
  • 2004A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING40 cited
  • 2003Pricing and hedging guaranteed annuity options via static option replication31 cited
  • 2009The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans28 cited
  • 2015Mortality modelling with regime-switching for the valuation of a guaranteed annuity option19 cited