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1. Probability of Default modelling with L\evy-driven Ornstein-Uhlenbeck processes and applications in credit risk under the IFRS 9. (2023). Georgiou, Kyriakos ; Yannacopoulos, Athanasios N.
   In: Papers.
   RePEc:arx:papers:2309.12384.

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2. Pricing industry loss warranties in a Lévy–Frailty framework. (2019). Beer, Simone ; Marugg, Andrin ; Braun, Alexander.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:89:y:2019:i:c:p:171-181.

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3. A full and synthetic model for Asset-Liability Management in life insurance, and analysis of the SCR with the standard formula. (2019). Infante, Jose Arturo ; Alfonsi, Aur'Elien ; Cherchali, Adel.
   In: Papers.
   RePEc:arx:papers:1908.00811.

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4. Return on Risk-Adjusted Capital Under Solvency II: Implications for the Asset Management of Insurance Companies. (2018). Schmeiser, Hato ; Schreiber, Florian ; Braun, Alexander.
   In: The Geneva Papers on Risk and Insurance - Issues and Practice.
   RePEc:pal:gpprii:v:43:y:2018:i:3:d:10.1057_s41288-017-0076-x.

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5. Strategic asset allocation for insurers under Solvency II. (2018). Kouwenberg, Roy.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:19:y:2018:i:7:d:10.1057_s41260-018-0097-4.

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6. Risk aggregation in Solvency II through recursive log-normals. (2017). Guillen, Montserrat ; Bolviken, Erik.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:73:y:2017:i:c:p:20-26.

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7. Dependency between Risks and the Insurer’s Economic Capital: A Copula-based GARCH Model. (2017). Jeungbo, Shim ; Seung-Hwan, Lee.
   In: Asia-Pacific Journal of Risk and Insurance.
   RePEc:bpj:apjrin:v:11:y:2017:i:1:p:29:n:3.

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8. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia ; Sorensen, Christoffer Kok.
   In: SAFE Working Paper Series.
   RePEc:zbw:safewp:137.

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9. A stochastic forward-looking model to assess the profitability and solvency of European insurers. (2016). Pancaro, Cosimo ; Kok, Christoffer ; Berdin, Elia ; Sorensen, Christoffer Kok.
   In: ICIR Working Paper Series.
   RePEc:zbw:icirwp:2116.

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10. The effects of a low interest rate environment on life insurers. (2014). Gründl, Helmut ; Grundl, Helmut ; Berdin, Elia.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:1514.

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11. Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. (2012). Gatzert, Nadine ; Bohnert, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:50:y:2012:i:1:p:64-78.

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12. The mechanics and regulation of variable payout annuities. (2011). Vittas, Dimitri.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:5762.

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13. Risk comparison of different bonus distribution approaches in participating life insurance. (2011). Zemp, Alexandra .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:2:p:249-264.

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14. Exponential change of measure applied to term structures of interest rates and exchange rates. (2011). Bo, Lijun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:2:p:216-225.

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15. Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches. (2011). Graf, Stefan ; Ru, Jochen ; Kling, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:115-125.

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16. Solvency capital requirement for German unit-linked insurance products. (2010). Kochanski, Michael.
    In: German Risk and Insurance Review (GRIR).
    RePEc:zbw:grirej:68727.

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17. Optimal design of profit sharing rates by FFT. (2010). Hainaut, Donatien.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:470-478.

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18. The conversion option in life insurance. (2010). Su, Karen C..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:437-442.

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19. Real World Pricing of Long Term Contracts. (2009). Platen, Eckhard.
    In: Research Paper Series.
    RePEc:uts:rpaper:262.

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20. Knightian uncertainty and insurance regulation decision. (2009). Chen, An ; Su, Xia.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:32:y:2009:i:1:p:13-33.

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21. Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance. (2009). Gerstner, Thomas ; Griebel, Michael ; Holtz, Markus .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:3:p:434-446.

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22. Analytical approximations for prices of swap rate dependent embedded options in insurance products. (2009). Pelsser, Antoon ; Plat, Richard.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:44:y:2009:i:1:p:124-134.

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23. Optimal pension insurance design. (2008). Nordahl, Helge ; Døskeland, Trond ; Doskeland, Trond M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:3:p:382-392.

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24. Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment. (2008). Zaglauer, Katharina ; Bauer, Daniel.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:1:p:29-40.

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25. Valuation of the interest rate guarantee embedded in defined contribution pension plans. (2008). Yang, Sharon S. ; Yueh, Meng-Lan ; Tang, Chun-Hua.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:3:p:920-934.

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26. Valuation of life insurance surrender and exchange options. (2008). Nordahl, Helge.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:3:p:909-919.

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27. Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement. (2008). Gatzert, Nadine.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:839-849.

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28. A general asset-liability management model for the efficient simulation of portfolios of life insurance policies. (2008). Gerstner, Thomas ; Goschnick, Ralf ; Griebel, Michael ; Holtz, Markus ; Haep, Marcus.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:2:p:704-716.

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29. Fair valuation of insurance contracts under Lévy process specifications. (2008). Kassberger, Stefan ; Liebmann, Thomas ; Kiesel, Rudiger.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:419-433.

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30. Evaluation of insurance products with guarantee in incomplete markets. (2008). Consiglio, Andrea ; de Giovanni, Domenico.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:332-342.

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31. Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework. (2007). de Cesare, Luigi ; Anzilli, Luca.
    In: Quaderni DSEMS.
    RePEc:ufg:qdsems:20-2007.

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32. Optimal Pension Insurance Design. (2007). Nordahl, Helge ; Døskeland, Trond ; Doskeland, Trond M..
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_014.

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33. Intergenerational Effects of Guaranteed Pension Contracts. (2007). Nordahl, Helge ; Døskeland, Trond ; Doskeland, Trond M..
    In: Discussion Papers.
    RePEc:hhs:nhhfms:2006_013.

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34. Lapse Rate Modeling: A Rational Expectation Approach. (2007). de Giovanni, Domenico.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2007-03.

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35. Pricing the Option to Surrender in Incomplete Markets. (2007). Consiglio, Andrea ; de Giovanni, Domenico.
    In: Finance Research Group Working Papers.
    RePEc:hhb:aarbfi:2007-02.

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36. The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees. (2007). Kleinow, Torsten ; Willder, Mark.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:40:y:2007:i:3:p:445-458.

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37. The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. (2007). Russ, Jochen ; Richter, Andreas ; Kling, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:40:y:2007:i:1:p:164-178.

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38. The Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees. (2006). Ru, Jochen ; Richter, Andreas ; Kling, Alexander.
    In: Discussion Papers in Business Administration.
    RePEc:lmu:msmdpa:1220.

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39. Asset and liability management for insurance products with minimum guarantees: The UK case. (2006). Consiglio, Andrea ; Zenios, Stavros ; Saunders, David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:2:p:645-667.

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40. Risk-neutral valuation of participating life insurance contracts. (2006). Kiesel, Rudiger ; Russ, Jochen ; Bauer, Daniel ; Kling, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:39:y:2006:i:2:p:171-183.

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41. Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims. (2006). Jørgensen, Peter ; Guillen, Montserrat ; Jorgensen, Peter Lochte ; Nielsen, Jens Perch.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:38:y:2006:i:2:p:229-252.

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42. Fair valuation of participating policies with surrender options and regime switching. (2005). Siu, Tak Kuen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:3:p:533-552.

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43. Risk measure and fair valuation of an investment guarantee in life insurance. (2005). Devolder, Pierre ; Barbarin, Jerome.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:2:p:297-323.

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44. Endogenous model of surrender conditions in equity-linked life insurance. (2005). Bacinello, Anna Rita.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:2:p:270-296.

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45. A Lévy process-based framework for the fair valuation of participating life insurance contracts. (2005). Ballotta, Laura.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:37:y:2005:i:2:p:173-196.

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46. The valuation of unit-linked policies with or without surrender options. (2005). Shen, Weixi ; Xu, Huiping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:36:y:2005:i:1:p:79-92.

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47. An efficient frontier for participating policies in a continuous-time economy. (2004). Yumae, Shoji ; Iwaki, Hideki.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:35:y:2004:i:3:p:611-625.

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48. The premium and the risk of a life policy in the presence of interest rate fluctuations. (2004). Haberman, Steven ; Gerrard, Russell ; Wang, Nan.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:35:y:2004:i:3:p:537-551.

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49. Pricing of multi-period rate of return guarantees. (2003). Lindset, Snorre.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:629-644.

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50. Fair valuation of path-dependent participating life insurance contracts. (2003). Lukkarinen, Jani ; Tanskanen, Antti Juho.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:3:p:595-609.

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51. Pricing and hedging guaranteed annuity options via static option replication. (2003). Pelsser, Antoon.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:2:p:283-296.

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52. Valuation of guaranteed annuity conversion options. (2003). Ballotta, Laura ; Haberman, Steven.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:33:y:2003:i:1:p:87-108.

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53. Early surrender and the distribution of policy reserves. (2002). Kuo, Weiyu ; Chen, Wei-Kuang ; Tsai, Chenghsien.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:31:y:2002:i:3:p:429-445.

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54. Intervention options in life insurance. (2002). Steffensen, Mogens.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:31:y:2002:i:1:p:71-85.

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55. The Value of Integrative Risk Management for Insurance Products with Guarantees. (2001). Consiglio, Andrea ; Zenios, Stavros ; Cocco, Flavio.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-06.

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56. Asset and Liability Modeling for Participating Policies with Guarantees. (2001). Consiglio, Andrea ; Zenios, Stavros ; Cocco, Flavio.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:00-41.

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57. On pricing and reserving with-profits life insurance contracts. (2001). Putyatin, Vladislav ; Nassar, Tarek ; Prieul, David.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:8:y:2001:i:3:p:145-166.

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