A Universal Framework for Pricing Financial and Insurance Risks
From MaRDI portal
Publication:4661661
DOI10.2143/AST.32.2.1027zbMath1090.91555MaRDI QIDQ4661661
Publication date: 30 March 2005
Published in: ASTIN Bulletin (Search for Journal in Brave)
91B24: Microeconomic theory (price theory and economic markets)
Related Items
ON HETEROGENEITY IN THE INDIVIDUAL MODEL WITH BOTH DEPENDENT CLAIM OCCURRENCES AND SEVERITIES, Regime-switching pure jump processes and applications in the valuation of mortality-linked products, First- and Second-order Asymptotics for the Tail Distortion Risk Measure of Extreme Risks, THE PRICING OF MORTALITY-LINKED CONTINGENT CLAIMS: AN EQUILIBRIUM APPROACH, Association and heterogeneity of insured lifetimes in the Lee–Carter framework, Pragmatic insurance option pricing, Capital Allocation Survey with Commentary, DYNAMIC HEDGING OF LONGEVITY RISK: THE EFFECT OF TRADING FREQUENCY, Pricing of CDOs based on the multivariate Wang transform, Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework, On the pricing of longevity-linked securities, Longevity bond premiums: the extreme value approach and risk cubic pricing, Securitization, structuring and pricing of longevity risk, Multivariate Tweedie distributions and some related capital-at-risk analyses, Pricing longevity risk with the parametric bootstrap: a maximum entropy approach, On the robustness of longevity risk pricing, Price bounds of mortality-linked security in incomplete insurance market, Analytical approximation for distorted expectations, Time-consistent actuarial valuations, An extension of the Wang transform derived from Bühlmann's economic premium principle for insurance risk, Securitization of catastrophe mortality risks, A mixture of generalized Tukey's \(g\) distributions, Pension risk management with funding and buyout options, Valuation of longevity-linked life annuities, On some claims related to Choquet integral risk measures, A comparative study of pricing approaches for longevity instruments, Regime-switching shot-noise processes and longevity bond pricing, Calibrating affine stochastic mortality models using term assurance premiums, The fundamental theorem of mutual insurance, Pricing and securitization of multi-country longevity risk with mortality dependence, A COMPARISON OF PRICING KERNELS FOR GARCH OPTION PRICING WITH GENERALIZED HYPERBOLIC DISTRIBUTIONS, On the Applicability of the Wang Transform for Pricing Financial Risks, Heterogeneity and the need for capital in the individual model, Extension of the Capital Asset Pricing Model to Non-normal Dependence Structures, Tail Variance Premium with Applications for Elliptical Portfolio of Risks, Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework, Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk, A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks, Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs
Cites Work
