| Publication | Date of Publication | Type |
|---|
Deterministic lifestyle investment strategy in mixed life insurance contracts
Decisions in Economics and Finance | 2026-01-16 | Paper |
Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
ASTIN Bulletin | 2025-01-22 | Paper |
Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
ASTIN Bulletin | 2024-06-17 | Paper |
Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates
European Actuarial Journal | 2024-06-04 | Paper |
Pricing and hedging of longevity basis risk through securitisation
ASTIN Bulletin | 2024-04-30 | Paper |
Mixed participating and unit-linked life insurance contracts: design, pricing and optimal strategy
Scandinavian Actuarial Journal | 2022-06-13 | Paper |
Solvency measurement of life annuity products
International Journal of Theoretical and Applied Finance | 2022-03-29 | Paper |
Automatic balance mechanisms for notional defined contribution pension systems guaranteeing social adequacy and financial sustainability: an application to the Italian pension system
Annals of Operations Research | 2021-11-08 | Paper |
Optimal annuitisation in a deterministic financial environment
Decisions in Economics and Finance | 2021-08-10 | Paper |
Mean reversion in stochastic mortality: why and how?
European Actuarial Journal | 2021-01-20 | Paper |
Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
ASTIN Bulletin | 2020-12-13 | Paper |
Between DB and DC: optimal hybrid PAYG pension schemes
European Actuarial Journal | 2020-03-06 | Paper |
Continuous time model for notional defined contribution pension schemes: liquidity and solvency
Insurance Mathematics & Economics | 2019-09-19 | Paper |
Solvency requirement for long term guarantee: risk measure versus probability of ruin
European Actuarial Journal | 2019-09-03 | Paper |
Solvency analysis of defined benefit pension schemes
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-12-13 | Paper |
Automatic balancing mechanisms for notional defined contribution accounts in the presence of uncertainty
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
Iterated VaR or CTE measures: a false good idea?
Scandinavian Actuarial Journal | 2018-07-13 | Paper |
Guarantee valuation in notional defined contribution pension systems
ASTIN Bulletin | 2018-06-04 | Paper |
Optimal mix between pay as you go and funding for pension liabilities in a stochastic framework
ASTIN Bulletin | 2018-06-04 | Paper |
Robust evaluation of SCR for participating life insurances under Solvency II
Insurance Mathematics & Economics | 2018-04-12 | Paper |
| The virtual universe of finance | 2017-03-20 | Paper |
| The annuity puzzle revisited: a deterministic version of Lagrangian methods | 2017-02-27 | Paper |
Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances
Dependence Modeling | 2016-12-20 | Paper |
Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model
Insurance Mathematics & Economics | 2016-12-13 | Paper |
| Basic Stochastic Processes | 2015-09-02 | Paper |
The minimal entropy martingale measure in a market of traded financial and actuarial risks
Journal of Computational and Applied Mathematics | 2015-02-18 | Paper |
Revised version of: ``Solvency requirement for a long-term guarantee: risk measures versus probability of ruin''
European Actuarial Journal | 2013-02-06 | Paper |
Stochastic mortality under measure changes
Scandinavian Actuarial Journal | 2011-11-26 | Paper |
Risk minimization with inflation and interest rate risk: applications to non-life insurance
Scandinavian Actuarial Journal | 2011-02-22 | Paper |
| A note on the instability of the unprojected individual level premium cost method | 2010-06-07 | Paper |
Life Annuitization: Why and how Much?
ASTIN Bulletin | 2009-06-15 | Paper |
Mortality modelling with Lévy processes
Insurance Mathematics & Economics | 2008-08-22 | Paper |
Management of a pension fund under mortality and financial risks
Insurance Mathematics & Economics | 2007-07-19 | Paper |
Fair Valuation of Various Participation Schemes in Life Insurance
ASTIN Bulletin | 2006-10-04 | Paper |
Risk measure and fair valuation of an investment guarantee in life insurance
Insurance Mathematics & Economics | 2006-01-10 | Paper |
Stochastic optimal control of annuity contracts.
Insurance Mathematics & Economics | 2004-02-14 | Paper |
| scientific article; zbMATH DE number 849069 (Why is no real title available?) | 1996-02-28 | Paper |
