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Fair valuation of insurance liability cash-flow streams in continuous time: Theory
16 references·1 citing·45 second hop
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2007Asymptotic properties of realized power variations and related functionals of semimartingales297 cited
  • 2006Risk measures via -expectations289 cited
  • 2006A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales282 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2010Modern Actuarial Risk Theory: Using R223 cited
  • 2008Indifference Pricing191 cited
  • 2005Integro-differential equations for option prices in exponential Lévy models176 cited
  • 2013Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications160 cited
  • 2007Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures148 cited

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  • 2000Martingales versus PDEs in finance: an equivalence result with examples125 cited
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    • 2024Option pricing in the Heston model with physics inspired neural networks21 cited