1. A hybrid variable annuity contract embedded with living and death benefit riders. (2024). Garcia, Jennifer Alonso ; Ziveyi, Jonathan ; Thirurajah, Samuel.
   In: ULB Institutional Repository.
   RePEc:ulb:ulbeco:2013/385588.

   Full description at Econpapers || Download paper

2. Deep hedging of long-term financial derivatives. (2021). Carbonneau, Alexandre.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:99:y:2021:i:c:p:327-340.

   Full description at Econpapers || Download paper

3. Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Schmidt, Thorsten ; Zeineddine, Raghid ; Eberlein, Ernst.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341.

   Full description at Econpapers || Download paper

4. Pricing and hedging defaultable participating contracts with regime switching and jump risk. (2020). Su, Xiaoshan ; le Courtois, Olivier ; Quittard-Pinon, Franois.
   In: Decisions in Economics and Finance.
   RePEc:spr:decfin:v:43:y:2020:i:1:d:10.1007_s10203-020-00276-w.

   Full description at Econpapers || Download paper

5. Efficient willow tree method for variable annuities valuation and risk management☆. (2020). Sevic, Zeljko ; Xu, Wei ; Dong, Bing.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305149.

   Full description at Econpapers || Download paper

6. Hedging of Variable Annuities under Basis Risk. (2020). Jan, Bauer.
   In: Asia-Pacific Journal of Risk and Insurance.
   RePEc:bpj:apjrin:v:14:y:2020:i:2:p:34:n:4.

   Full description at Econpapers || Download paper

7. Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre.
   In: Papers.
   RePEc:arx:papers:2007.15128.

   Full description at Econpapers || Download paper

8. Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (2018). Ziveyi, Jonathan ; Kang, Boda.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:79:y:2018:i:c:p:43-56.

   Full description at Econpapers || Download paper

1. Aït-Sahalia, 2009. Testing for Jumps in a Discretely Observed Process. In: Annals of Statistics, (37) 1, 184
   Paper not yet in RePEc: Add citation now
   

2. Bacinello, 2003. Fair Valuation of a Guaranteed Life Insurance Participating Contract Embedding a Surrender Option. In: Journal of Risk and Insurance, (70) 3, 461

3. Bacinello, 2011. Variable Annuities: A Unifying Valuation Approach. In: Insurance Mathematics & Economics, (49) 3, 285

4. Ballotta, 2005. A Lévy Process-Based Framework for the Fair Valuation of Participating Life Insurance Contracts. In: Insurance: Mathematics and Economics, (37) 2, 173

5. Black, 1973. The Pricing of Options and Corporate Liabilities. In: Journal of Political Economy, (81), 637

6. Boyarchenko, 2000. Option Pricing for Truncated Lévy Processes. In: International Journal for Theory and Applications in Finance, (3) 3, 549
   Paper not yet in RePEc: Add citation now
   

7. Brennan, 1976. The Pricing of Equity-Linked Life Insurance Policies With an Asset Value Guarantee. In: Journal of Financial Economics, (3) 3, 195

8. Carr, 1998. Option Valuation Using the Fast Fourier Transform. In: Journal of Computational Finance,, 61
   Paper not yet in RePEc: Add citation now
   

9. Carr, 2002. The Fine Structure of Asset Returns: An Empirical Investigation. In: Journal of Business, (75) 2, 305

10. Carr, 2013. Static Hedging of Standard Options. In: Journal of Financial Econometrics, (12) 1, 3

11. Coleman, 2006. Hedging Guarantees in Variable Annuities Under Both Equity and Interest Rate Risks. In: Insurance: Mathematics and Economics, (38) 2, 215

12. Coleman, 2007. Robustly Hedging Variable Annuities With Guarantees Under Jump and Volatility Risks. In: Journal of Risk and Insurance, (74) 2, 347

13. Cont, 2001. Empirical Properties of Asset Returns: Stylized Facts and Statistical Issues. In: Quantitative Finance, (1), 223

14. Cont, 2004. In: Financial Modelling with Jump Processes,
    Paper not yet in RePEc: Add citation now
    

15. Eberlein, 2010. Analysis of Fourier Transform Valuation Formulas and Applications. In: Applied Mathematical Finance, (17) 3, 211

16. Gerber, 1994. Option Pricing by Esscher Transforms. In: Transactions of the Society of Actuaries, (46), 99
    Paper not yet in RePEc: Add citation now
    
17. Hardy, 2003. In: Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance,
    Paper not yet in RePEc: Add citation now
    

18. Heston, 1993. A Closed-Form Solution for Options With Stochastic Volatility With Applications to Bond and Currency Options. In: Review of Financial Studies, (6) 2, 327

19. Kélani, 2014. Pricing, Hedging and Assessing Risk in a General Lévy Context. In: Bankers, Markets and Investors,, 30
    Paper not yet in RePEc: Add citation now
    
20. Kalberer, 2009. In: Variable Annuities: A Global Perspective,
    Paper not yet in RePEc: Add citation now
    

21. Kassberger, 2008. Fair Valuation of Insurance Contracts Under Lévy Process Specifications. In: Insurance: Mathematics and Economics, (42) 1, 419

22. Kim, 2007. The Relative Entropy in CGMY Processes and Its Applications to Finance. In: Mathematical Methods of Operations Research, (66) 2, 327

23. Kou, 2002. A Jump-Diffusion Model for Option Pricing. In: Management Science, (48), 1086

24. Le Courtois, 2008. Fair Valuation of Participating Life Insurance Contracts With Jump Risk. In: The Geneva Risk and Insurance Review, (33) 2, 106
    Paper not yet in RePEc: Add citation now
    
25. Møller, 2001. Risk-Minimizing Hedging Strategies for Insurance Payment Processes. In: Finance and Stochastics, (5) 4, 419
    Paper not yet in RePEc: Add citation now
    

26. Madan, 1990. The Variance Gamma Model for Share Market Returns. In: Journal of Business, (63) 4, 511

27. Melnikov, 2006. Evaluating the Performance of Gompertz, Makeham and Lee-Carter Mortality Models for Risk-Management With Unit-Linked Contracts. In: Insurance: Mathematics and Economics, (39), 310

28. Mercurio, 1996. Option Pricing With Hedging at Fixed Trading Dates. In: Applied Mathematical Finance, (3) 2, 135

29. Milevsky, 2001. The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds. In: Journal of Risk and Insurance, (68) 1, 91
    Paper not yet in RePEc: Add citation now
    
30. Quittard-Pinon, 2011. Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts. In: The Geneva Risk and Insurance Review, (36) 1, 51
    Paper not yet in RePEc: Add citation now
    

31. Riesner, 2006. Hedging Life Insurance Contracts in a Lévy Process Financial Market. In: Insurance: Mathematics and Economics, (38) 3, 599

32. Schweizer, 1991. Option Hedging for Semimartingales. In: Stochastic Processes and Their Applications, (37) 2, 339

33. Schweizer, 2001. A Guided Tour Through Quadratic Hedging Approaches. In: Option Pricing, Interest Rates and Risk Management, (12), 538
    Paper not yet in RePEc: Add citation now
    
34. Shiryaev, 1999. In: Essential of Stochastic Finance: Facts, Models,Theory,
    Paper not yet in RePEc: Add citation now
    
35. Titchmarsh, 1937. In: Introduction to the Theory of Fourier Integrals,
    Paper not yet in RePEc: Add citation now
    

36. Vandaele, 2008. A Locally Risk-Minimizing Hedging Strategy for Unit-Linked Life Insurance Contracts in a Lévy Process Financial Market. In: Insurance: Mathematics and Economics, (42) 3, 1128

1. Surrender contagion in life insurance. (2023). Hilpert, Christian ; Schaefer, Mick ; Cheng, Chunli ; Lavasani, Aidin Miri.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:305:y:2023:i:3:p:1465-1479.

   Full description at Econpapers || Download paper

2. An analytical study of participating policies with minimum rate guarantee and surrender option. (2022). stabile, gabriele ; Angelis, Tiziano ; Chiarolla, Maria B.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:26:y:2022:i:2:d:10.1007_s00780-022-00471-0.

   Full description at Econpapers || Download paper

3. Estimating extreme cancellation rates in life insurance. (2021). Huber, Tobias ; Jaspersen, Johannes G ; Biagini, Francesca ; Mazzon, Andrea.
   In: Journal of Risk & Insurance.
   RePEc:bla:jrinsu:v:88:y:2021:i:4:p:971-1000.

   Full description at Econpapers || Download paper

4. An analytical study of participating policies with minimum rate guarantee and surrender option. (2021). stabile, gabriele ; de Angelis, Tiziano ; Chiarolla, Maria B.
   In: Papers.
   RePEc:arx:papers:2004.06982.

   Full description at Econpapers || Download paper

5. Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. (2020). Chang-Ye, TU ; Yen-Kuan, Lee ; Wei, Hsuan ; Shih-Chieh, Chang.
   In: Asia-Pacific Journal of Risk and Insurance.
   RePEc:bpj:apjrin:v:14:y:2020:i:1:p:16:n:3.

   Full description at Econpapers || Download paper

6. Deep Hedging of Long-Term Financial Derivatives. (2020). Carbonneau, Alexandre.
   In: Papers.
   RePEc:arx:papers:2007.15128.

   Full description at Econpapers || Download paper

7. Surrender Risk in the Context of the Quantitative Assessment of Participating Life Insurance Contracts under Solvency II. (2018). Burkhart, Tobias.
   In: Risks.
   RePEc:gam:jrisks:v:6:y:2018:i:3:p:66-:d:154888.

   Full description at Econpapers || Download paper

8. Valuation of variable long-term care Annuities with Guaranteed Lifetime Withdrawal Benefits: A variance reduction approach. (2018). Chiu, Yu-Fen ; Chen, Yen-Chih ; Hsieh, Ming-Hua ; Wang, Jennifer L.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:78:y:2018:i:c:p:246-254.

   Full description at Econpapers || Download paper

9. A two-decrement model for the valuation and risk measurement of a guaranteed annuity option. (2018). Zhao, Yixing ; Mamon, Rogemar ; Gao, Huan.
   In: Econometrics and Statistics.
   RePEc:eee:ecosta:v:8:y:2018:i:c:p:231-249.

   Full description at Econpapers || Download paper

10. The fair surrender value of a tontine. (2017). Weinert, Jan-Hendrik.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:2617.

    Full description at Econpapers || Download paper

11. Intensity-based framework for surrender modeling in life insurance. (2017). Fabozzi, Frank ; Russo, Vincenzo ; Giacometti, Rosella.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:72:y:2017:i:c:p:189-196.

    Full description at Econpapers || Download paper

12. Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective. (2017). Quittard-Pinon, Franois ; Kelani, Abdou.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:84:y:2017:i:1:p:209-238.

    Full description at Econpapers || Download paper

13. 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.

    Full description at Econpapers || Download paper

14. 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.

    Full description at Econpapers || Download paper

15. A robust asset–liability management framework for investment products with guarantees. (2016). Gulpinar, Nalan ; Anakolu, Ethem ; Pachamanova, Dessislava.
    In: OR Spectrum: Quantitative Approaches in Management.
    RePEc:spr:orspec:v:38:y:2016:i:4:d:10.1007_s00291-016-0437-z.

    Full description at Econpapers || Download paper

16. Incorporation of Stochastic Policyholder Behavior in Analytical Pricing of GMABs and GMDBs. (2016). Escobar Anel, Marcos ; Zagst, Rudi ; Krayzler, Mikhail ; Ramsauer, Franz ; Saunders, David.
    In: Risks.
    RePEc:gam:jrisks:v:4:y:2016:i:4:p:41-:d:82367.

    Full description at Econpapers || Download paper

17. On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior. (2016). Schoenmaekers, Pascal ; Kraut, Gunther ; Knoller, Christian.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:83:y:2016:i:4:p:979-1006.

    Full description at Econpapers || Download paper

18. Lethal lapses: How a positive interest rate shock might stress German life insurers. (2015). Förstemann, Till ; Forstemann, Till ; Feodoria, Mark .
    In: Discussion Papers.
    RePEc:zbw:bubdps:122015.

    Full description at Econpapers || Download paper

19. Designing and pricing guarantee options in defined contribution pension plans. (2015). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:65:y:2015:i:c:p:267-279.

    Full description at Econpapers || Download paper

20. Vorteile der Risikoübernahme in der klassischen Lebensversicherung. (2014). Url, Thomas.
    In: WIFO Studies.
    RePEc:wfo:wstudy:60603.

    Full description at Econpapers || Download paper

21. Optimal surrender policy for variable annuity guarantees. (2014). Muehlbeyer, Max ; Bernard, Carole ; MacKay, Anne.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:55:y:2014:i:c:p:116-128.

    Full description at Econpapers || Download paper

22. A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices. (2014). Lin, Shih-Kuei ; Chuang, Ming-Che ; Chou, Chia-Yu.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:341-350.

    Full description at Econpapers || Download paper

23. Reserve-Dependent Surrender. (2014). Steffensen, Mogens ; Kamille Sofie T{aa}gholt Gad, ; Juhl, Jeppe .
    In: Papers.
    RePEc:arx:papers:1412.1991.

    Full description at Econpapers || Download paper

24. Application of data clustering and machine learning in variable annuity valuation. (2013). Gan, Guojun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:795-801.

    Full description at Econpapers || Download paper

25. Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach. (2013). Siu, Tak Kuen ; Fard, Farzad Alavi.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:712-721.

    Full description at Econpapers || Download paper

26. Pension saving schemes with return smoothing mechanism. (2013). Goecke, Oskar.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:678-689.

    Full description at Econpapers || Download paper

27. The value of interest rate guarantees in participating life insurance contracts: Status quo and alternative product design. (2013). Eling, Martin ; Holder, Stefan .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:491-503.

    Full description at Econpapers || Download paper

28. Pricing Equity Index Annuities with Surrender Options in Four Models. (2013). Franois, Quittard-Pinon ; Abdou, Kelani .
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:7:y:2013:i:2:p:105-142:n:1.

    Full description at Econpapers || Download paper

29. Research on Lapse in Life Insurance – What Has Been Done and What Needs to Be Done?. (2012). Kochanski, Michael ; Eling, Martin.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:24.

    Full description at Econpapers || Download paper

30. The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design. (2012). Eling, Martin ; Holder, Stefan .
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2012:21.

    Full description at Econpapers || Download paper

31. 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.

    Full description at Econpapers || Download paper

32. A joint valuation of premium payment and surrender options in participating life insurance contracts. (2011). Wagner, J. ; Schmeiser, H..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:3:p:580-596.

    Full description at Econpapers || Download paper

33. 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.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

35. Actuarially Fair Premia for Deductible Insurance Policies. (2010). .
    In: The American Economist.
    RePEc:sae:amerec:v:55:y:2010:i:2:p:83-91.

    Full description at Econpapers || Download paper

36. 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.

    Full description at Econpapers || Download paper

37. Pricing the Option to Surrender in Incomplete Markets. (2010). Consiglio, Andrea ; de Giovanni, Domenico.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:77:y:2010:i:4:p:935-957.

    Full description at Econpapers || Download paper

38. Valuing Surrender Options in Korean Interest Indexed Annuities. (2009). Kim, Changki.
    In: Asia-Pacific Journal of Risk and Insurance.
    RePEc:bpj:apjrin:v:3:y:2009:i:2:n:4.

    Full description at Econpapers || Download paper

39. Fair Valuation of Participating Life Insurance Contracts with Jump Risk. (2008). le Courtois, Olivier ; François Quittard-Pinon, .
    In: The Geneva Risk and Insurance Review.
    RePEc:pal:genrir:v:33:y:2008:i:2:p:106-136.

    Full description at Econpapers || Download paper

40. 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.

    Full description at Econpapers || Download paper

41. 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.

    Full description at Econpapers || Download paper

42. 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.

    Full description at Econpapers || Download paper

43. Assessing the Risk Potential of Premium Payment Options in Participating Life Insurance Contracts. (2008). Gatzert, Nadine ; Schmeiser, Hato.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:75:y:2008:i:3:p:691-712.

    Full description at Econpapers || Download paper

44. On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity. (2007). Siu, Tak Kuen.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:14:y:2007:i:3:p:255-275.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

46. 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.

    Full description at Econpapers || Download paper

47. 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.

    Full description at Econpapers || Download paper

48. 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.

    Full description at Econpapers || Download paper

49. 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.

    Full description at Econpapers || Download paper

50. 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.

    Full description at Econpapers || Download paper

Report date: 2025-10-06 15:48:30 || Missing content? Let us know