Evaluation of insurance products with guarantee in incomplete markets (Q939370): Difference between revisions

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+Economic Valuation Models for Insurers
@@ Property / cites work: Economic Valuation Models for Insurers / rank @@
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+Reserving for maturity guarantees: Two approaches
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+Q5715581
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+Hedging guarantees in variable annuities under both equity and interest rate risks
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+Mean-variance hedging in continuous time
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+Scenarios for multistage stochastic programs
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+Scenario reduction in stochastic programming
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+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
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+Q3815091
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+Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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+Generating Scenario Trees for Multistage Decision Problems
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+Duality and martingales: a stochastic programming perspective on contingent claims
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+CALIBRATED OPTION BOUNDS
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+Comment on “Generating Scenario Trees for Multistage Decision Problems”
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+Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
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+Hedging Equity-Linked Life Insurance Contracts
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+Indifference pricing of insurance contracts in a product space model: Applications
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+Pricing equity-linked pure endowments via the principle of equivalent utility.
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+Publication:939370