Bayesian Risk Management for Equity-Linked Insurance
From MaRDI portal
Publication:4455895
DOI10.1080/034612302320179863zbMATH Open1039.91041OpenAlexW2084482813MaRDI QIDQ4455895FDOQ4455895
Publication date: 16 March 2004
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/034612302320179863
Recommendations
- A Regime-Switching Model of Long-Term Stock Returns
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Bayesian Estimation for the Markov-Modulated Diffusion Risk Model
- scientific article; zbMATH DE number 5954101
- Volatility Risk For Regime-Switching Models
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive conditional heteroskedasticity and changes in regime
- Coherent measures of risk
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Title not available (Why is that?)
- Title not available (Why is that?)
- A synthesis of risk measures for capital adequacy
- 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
- Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
- A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies
This page was built for publication: Bayesian Risk Management for Equity-Linked Insurance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4455895)
