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Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates
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Design and Pricing of Equity‐Linked Life Insurance under Stochastic Interest Rates (2002)Design and Pricing of Equity‐Linked Life …Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts (1998)Risk-Minimizing Hedging Strat…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…The Market Model of Interest Rate Dynamics (1997)The Market Model of Interest …LIBOR and swap market models and measures (1997)LIBOR and swap market models …Pricing of Unit-linked Life Insurance Policies (1994)Pricing of Unit-linked Life I…Pricing equity-linked life insurance with endogenous minimum guarantees (1993)Pricing equity-linked life in…Dynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1 (1992)Pricing Options On Risky Asse…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee (1979)Alternative Investment Strate…Equilibrium Prices of Guarantees under Equity-Linked Contracts (1977)Equilibrium Prices of Guarant…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 …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging (2021)Equity-linked Guaranteed Mini…Pricing and hedging guaranteed annuity options via static option replication (2003)Pricing and hedging guarantee…On Valuation and Risk Management at the Interface of Insurance and Finance (2002)On Valuation and Risk Managem…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Pricing American-style securities using simulation (1997)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of rational option pricing (2005)Moment explosions in stochastic volatility models (2006)An Intertemporal Capital Asset Pricing Model (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Prospect theory: An analysis of decision under risk (1988)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)Alternative models for stock price dynamics (2003)Arbitrage Theory in Continuous Time (2004)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1997The Market Model of Interest Rate Dynamics1,175 cited
  • 1997LIBOR and swap market models and measures746 cited
  • 1976The pricing of equity-linked life insurance policies with an asset value guarantee509 cited
  • 1977Equilibrium Prices of Guarantees under Equity-Linked Contracts253 cited
  • 1998Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts196 cited
  • 1992Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1186 cited
  • 1994Pricing of Unit-linked Life Insurance Policies132 cited
  • 1993Pricing equity-linked life insurance with endogenous minimum guarantees121 cited
  • 1979Alternative Investment Strategies for the Issuers of Equity Linked Life Insurance Policies with an Asset Value Guarantee

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116 cited

Cited by

  • 2002On Valuation and Risk Management at the Interface of Insurance and Finance48 cited
  • 2003Pricing and hedging guaranteed annuity options via static option replication31 cited
  • 2021Equity-linked Guaranteed Minimum Death Benefits with dollar cost averaging25 cited