Affordable and adequate annuities with stable payouts: fantasy or reality?
From MaRDI portal
Publication:2415961
DOI10.1016/j.insmatheco.2019.01.010zbMath1411.91318OpenAlexW2914126635MaRDI QIDQ2415961
Daniël Linders, Servaas van Bilsen
Publication date: 23 May 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/648655
model riskbuffering of portfolio shocksgeneral financial marketrisk management frameworkunit-linked annuities
Related Items
Monotone tail functions: definitions, properties, and application to risk-reducing strategies, Long-term real dynamic investment planning
Cites Work
- Unnamed Item
- Unnamed Item
- Applications of central limit theorems for equity-linked insurance
- Time-consistent actuarial valuations
- Comparison utility in a growth model
- Asset pricing with multiplicative habit and power-expo preferences
- Solving consumption models with multiplicative habits
- Accounting and actuarial smoothing of retirement payouts in participating life annuities
- Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
- Return smoothing mechanisms in life and pension insurance: path-dependent contingent claims
- Financial valuation of guaranteed minimum withdrawal benefits
- Coherent Measures of Risk
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- Implied Lévy volatility
- Revisiting the Risk-Neutral Approach to Optimal Policyholder Behavior: A Study of Withdrawal Guarantees in Variable Annuities *
- Valuing variable annuity guarantees on multiple assets
- Expectations-Based Reference-Dependent Life-Cycle Consumption
- Empirical properties of asset returns: stylized facts and statistical issues
- Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model
- Fitting the variance-gamma model to financial data
- The Variance Gamma Process and Option Pricing
- General theory of geometric Lévy models for dynamic asset pricing
- PARTICIPATING PAYOUT LIFE ANNUITIES: LESSONS FROM GERMANY
- MARKET VALUE MARGIN VIA MEAN–VARIANCE HEDGING
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Option pricing when underlying stock returns are discontinuous
- Economic Capital Allocation Derived from Risk Measures