全部文献期刊学位论文会议报纸专利标准年鉴图书|学者科研项目
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作者:Sebastian Jaimungal , Yuri Lawryshyn
来源:[J].Annals of Operations Research(IF 1.029), 2017, Vol.259 (1-2), pp.173-190Springer
摘要:Real options analysis is widely recognized as a superior method for valuing projects with managerial flexibilities. Yet, its adoption remains limited due to varied difficulties in its implementation. In this work, a real options approach that utilizes managerial cash-flow es...
作者:Siti Nur Iqmal Ibrahim , John G. O’Hara , Nick Constantinou
来源:[J].Applied Mathematics Letters(IF 1.501), 2013, Vol.26 (6), pp.595-600Elsevier
摘要:Abstract(#br)Barrier options are standard exotic options traded in the financial market. These instruments are different from the vanilla options as the payoff of the option depends on whether the underlying asset price reaches a predetermined barrier level, during the life ...
作者:Katharina Zaglauer , Daniel Bauer
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2007, Vol.43 (1), pp.29-40Elsevier
摘要:Abstract(#br)Over the last years, the valuation of life insurance contracts using concepts from financial mathematics has become a popular research area for actuaries as well as financial economists. In particular, several methods have been proposed of how to model and price p...
作者:Daniel Bauer , Rüdiger Kiesel , Alexander Kling ...
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2006, Vol.39 (2), pp.171-183Elsevier
摘要:Abstract(#br)The valuation of life insurance contracts using concepts from financial mathematics has recently attracted considerable interest in academia as well as among practitioners. In this paper, we will investigate the valuation of participating contracts, which are charact...
作者:Runhuan Feng , Xiaochen Jing
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2016Elsevier
摘要:... In this paper, we show that such analytical solutions can in fact be determined for the risk-neutral valuation and delta-hedging of the plain-vanilla GLWB. As we demonstrate by numerical examples, this approach drastically reduces run time as compared to Monte Carlo simulati...
作者:Simone Beer , Alexander Braun , Andrin Marugg
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2019, Vol.89, pp.171-181Elsevier
摘要:Abstract(#br)We propose a novel risk-neutral pricing approach for industry loss warranties. In doing so, we explicitly take into account the statistical dependence of the losses on individual policies in the underlying insurance portfolio, caused by the occurrence of a natural c...
作者:H.A. Hauksson
来源:[J].Mathematical and Computer Modelling(IF 1.42), 2001, Vol.34 (9), pp.1199-1212Elsevier
摘要:... Our approach is based on the locally risk-neutral valuation relationship. Methods for maximum likelihood estimation of GARCH-stable processes are presented as well as empirical results for the DAX index. Finally, the results of Monte Carlo simulations evaluating prices of Eur...
作者:Torsten Kleinow
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2008, Vol.44 (1), pp.78-87Elsevier
摘要:Abstract(#br)The valuation and hedging of participating life insurance policies, also known as with-profits policies, is considered. Such policies can be seen as European path-dependent contingent claims whose underlying security is the investment portfolio of the insurance c...
作者:Johanna Eckert , Nadine Gatzert , Michael Martin
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2016, Vol.71, pp.382-393Elsevier
摘要:... Thus, the aim of this paper is to examine the impact of market risk associated with the asset composition on fair valuation and risk assessment with focus on credit risk and its interaction with equity risk and interest rate risk. Our analysis emphasizes that the considera...
作者:Alexander Bohnert , Nadine Gatzert , Peter Løchte Jørgensen
来源:[J].Insurance Mathematics and Economics(IF 1.095), 2015, Vol.60, pp.83-97Elsevier
摘要:Abstract(#br)The aim of this paper is to analyze the impact of management’s strategic choice of asset and liability composition in life insurance on shortfall risk and the shareholders’ fair risk charge. In contrast to previous work, we focus on the effectiveness of manageme...

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