Risk analysis of annuity conversion options in a stochastic mortality environment
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Cites work
- A comparison of biased simulation schemes for stochastic volatility models
- A theory of the term structure of interest rates
- Deterministic shock vs. stochastic value-at-risk -- an analysis of the Solvency II standard model approach to longevity risk
- Hedging of guaranteed maturity benefits in unit-linked life insurance
- scientific article; zbMATH DE number 5151672 (Why is no real title available?)
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Modeling the forward surface of mortality
- On Bonus and Bonus Prognoses in Life Insurance
- Smoothing and forecasting mortality rates
- Stochastic calculus for finance. II: Continuous-time models.
- Stochastic mortality under measure changes
- The fair value of guaranteed annuity options
Cited in
(5)- Options on tontines: an innovative way of combining tontines and annuities
- Multi-state models for evaluating conversion options in life insurance
- Tail index-linked annuity: a longevity risk sharing retirement plan
- On the optimal combination of annuities and tontines
- The effect of the assumed interest rate and smoothing on variable annuities
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