Fourier based methods for the management of complex life insurance products (Q2665862): Difference between revisions

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+Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
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+Regression-based algorithms for life insurance contracts with surrender guarantees
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+The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
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+Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
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+A Lévy process-based framework for the fair valuation of participating life insurance contracts
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+Pricing and capital requirements for with profit contracts: modelling considerations
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+Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
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+Variable annuities in a Lévy-based hybrid model with surrender risk
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+Integrated structural approach to credit value adjustment
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+Affine processes for dynamic mortality and actuarial valuations
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+Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
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+Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
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+Exact Simulation of the SABR Model
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+A General Framework for Pricing Asian Options Under Markov Processes
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+A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
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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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+Pricing variable annuity guarantees in a local volatility framework
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+On the (in-)dependence between financial and actuarial risks
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+Analysis of Fourier Transform Valuation Formulas and Applications
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+Lévy term structure models: no-arbitrage and completeness
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+Mathematical Finance
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+Term Structure Models Driven by General Levy Processes
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+Hybrid Lévy Models: Design and Computational Aspects
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+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
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+Income drawdown option with minimum guarantee
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+Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
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+Pricing of Ratchet equity-indexed annuities under stochastic interest rates
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+ON SURRENDER AND DEFAULT RISKS
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+Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
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+From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
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+Mortality derivatives and the option to annuitise.
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+Q4486401
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+Intensity-based framework for surrender modeling in life insurance
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+Pricing exotic derivatives exploiting structure
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+Fair valuation of path-dependent participating life insurance contracts.
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+On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
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