Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk (Q1934414): Difference between revisions

@@ Property / author @@
-Lin-Yi Qian
@@ Property / author: Lin-Yi Qian / rank @@
-Normal rank
@@ Property / author @@
-Rong-Ming Wang
@@ Property / author: Rong-Ming Wang / rank @@
-Normal rank
@@ Property / author @@
+Lin-Yi Qian
@@ Property / author: Lin-Yi Qian / rank @@
+Normal rank
@@ Property / author @@
+Rong-Ming Wang
@@ Property / author: Rong-Ming Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11425-012-4524-6
+Normal rank
@@ Property / OpenAlex ID @@
+W1976242879
@@ Property / OpenAlex ID: W1976242879 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing of Unit-linked Life Insurance Policies
@@ Property / cites work: Pricing of Unit-linked Life Insurance Policies / rank @@
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+Stochastic mortality under measure changes
@@ Property / cites work: Stochastic mortality under measure changes / rank @@
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
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+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
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+Valuation and hedging of life insurance liabilities with systematic mortality risk
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@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
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+Q3815091
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Mortality modelling with Lévy processes
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+Valuation of contingent claims with mortality and interest rate risks
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Option pricing when underlying stock returns are discontinuous
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+Minimal entropy martingale measures of jump type price processes in incomplete assets markets
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+Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts
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+Risk-minimizing hedging strategies for insurance payment processes
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+Valuation of equity-indexed annuity under stochastic mortality and interest rate
+Normal rank
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+Affine stochastic mortality
@@ Property / cites work: Affine stochastic mortality / rank @@
+Normal rank
@@ Property / cites work @@
+Option hedging for semimartingales
@@ Property / cites work: Option hedging for semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing currency options under two-factor Markov-modulated stochastic volatility models
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1934414