Risk-minimization for life insurance liabilities with basis risk
暂无分享,去创建一个
[1] F. Biagini,et al. RISK‐MINIMIZATION FOR LIFE INSURANCE LIABILITIES WITH DEPENDENT MORTALITY RISK , 2017 .
[2] Local risk-minimization with longevity bonds , 2015 .
[3] HEDGING MORTALITY CLAIMS WITH LONGEVITY BONDS* , 2013, ASTIN Bulletin.
[4] Michael Merz,et al. Financial Modeling, Actuarial Valuation and Solvency in Insurance , 2013 .
[5] Francesca Biagini,et al. Risk-Minimization for Life Insurance Liabilities , 2013, SIAM J. Financial Math..
[6] Ragnar Norberg,et al. Optimal hedging of demographic risk in life insurance , 2013, Finance Stochastics.
[7] F. Biagini,et al. Local Risk-Minimization for Defaultable Claims with Recovery Process , 2012 .
[8] D. Blake,et al. The Cost of Counterparty Risk and Collateralization in Longevity Swaps , 2013 .
[9] Thomas Møller,et al. Mixed dynamic and static risk-minimization with an application to survivor swaps , 2011 .
[10] David Blake,et al. Bayesian Stochastic Mortality Modelling for Two Populations , 2011, ASTIN Bulletin.
[11] Mary R. Hardy,et al. Measuring Basis Risk in Longevity Hedges , 2011 .
[12] K. Dowd,et al. A Gravity Model of Mortality Rates for Two Related Populations , 2011 .
[13] David Blake,et al. Longevity Hedging 101 , 2011 .
[14] Nan Li,et al. Coherent mortality forecasts for a group of populations: An extension of the lee-carter method , 2005, Demography.
[15] N. El Karoui,et al. Understanding, modelling and managing longevity risk: key issues and main challenges , 2012 .
[16] LOCAL RISK MINIMIZATION FOR DEFAULTABLE MARKETS , 2009 .
[17] Damir Filipović,et al. Affine Diffusion Processes: Theory and Applications , 2009, 0901.4003.
[18] Pauline Barrieu,et al. The handbook of insurance-linked securities , 2009 .
[19] S. F. Jarner,et al. PI-0902 Modelling Adult Mortality in Small Populations : The Saint Model , 2008 .
[20] K. Dowd,et al. The Birth of the Life Market , 2008 .
[21] Thomas Møller,et al. On systematic mortality risk and risk-minimization with survivor swaps , 2008 .
[22] J. Barbarin. Valuation, hedging and the risk management of insurance contracts , 2008 .
[23] Martin Schweizer. Local risk-minimization for multidimensional assets and payment streams , 2008 .
[24] F. Biagini,et al. Quadratic Hedging Methods for Defaultable Claims , 2007 .
[25] J. Barbarin. Heath-Jarrow-Morton Modelling of Longevity Bonds and the Risk Minimization of Life Insurance Portfolios , 2007 .
[26] M. Dahl,et al. Valuation and hedging of life insurance liabilities with systematic mortality risk , 2006 .
[27] Hedging life insurance contracts in a Lévy process financial market , 2006 .
[28] David Blake,et al. Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk* , 2006, ASTIN Bulletin.
[29] Enrico Biffis,et al. Affine Processes for Dynamic Mortality and Actuarial Valuations , 2004 .
[30] T. Bielecki,et al. Credit Risk: Modeling, Valuation And Hedging , 2004 .
[31] Monique Jeanblanc,et al. Hazard rate for credit risk and hedging defaultable contingent claims , 2004, Finance Stochastics.
[32] D. Duffie,et al. Affine Processes and Application in Finance , 2002 .
[33] Thomas Møller. Risk-minimizing hedging strategies for insurance payment processes , 2001, Finance Stochastics.
[34] M. Schweizer. A guided tour through quadratic hedging approaches , 1999 .
[35] Thomas Møller,et al. Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts , 1998, ASTIN Bulletin.
[36] F. Delbaen,et al. Convergence of discretized stochastic (interest rate) processes with stochastic drift term , 1998 .
[37] K. Singleton,et al. Specification Analysis of Affine Term Structure Models , 1997 .
[38] Christophe Stricker,et al. Décomposition de Kunita-Watanabe , 1993 .
[39] P. Protter. Stochastic integration and differential equations , 1990 .
[40] B. Øksendal. Stochastic differential equations : an introduction with applications , 1987 .
[41] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[42] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[43] D. Sondermann. Hedging of non-redundant contingent claims , 1985 .
[44] A. Friedman. Stochastic Differential Equations and Applications , 1975 .