Bayesian Risk Management for Equity-Linked Insurance
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Publication:4455895
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Cites work
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- scientific article; zbMATH DE number 840151 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A synthesis of risk measures for capital adequacy
- Autoregressive conditional heteroskedasticity and changes in regime
- Coherent measures of risk
- Generalized autoregressive conditional heteroscedasticity
- Pricing equity-linked life insurance with endogenous minimum guarantees
Cited in
(7)- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Bayesian modelling of financial guarantee insurance
- Bayesian analysis of equity-linked savings contracts with American-style options
- Variational Bayes for regime-switching log-normal models
- Accounting for regime and parameter uncertainty in regime-switching models
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
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