Valuation of finance/insurance contracts: Efficient hedging and stochastic interest rates modeling

Insurance Contracts ◽

Stochastic Interest ◽

Efficient Hedging

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2009.09.003 ◽

2009 ◽

Vol 45 (3) ◽

pp. 436-448 ◽

Cited By ~ 43

Author(s):

Alexander van Haastrecht ◽

Roger Lord ◽

Antoon Pelsser ◽

David Schrager

Keyword(s):

Interest Rates ◽

Stochastic Volatility ◽

Insurance Contracts ◽

Market value of life insurance contracts under stochastic interest rates and default risk

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2005.01.002 ◽

2005 ◽

Vol 36 (3) ◽

pp. 499-516 ◽

Cited By ~ 47

Author(s):

Carole Bernard ◽

Olivier Le Courtois ◽

François Quittard-Pinon

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Default Risk ◽

Market Value ◽

Value Of Life ◽

Insurance Contracts ◽

Level Premium Model for Portfolio of Life Insurance Contracts with Stochastic Interest Rates

2006 International Conference on Management Science and Engineering ◽

10.1109/icmse.2006.314037 ◽

2006 ◽

Author(s):

Dong Ming

Keyword(s):

Interest Rates ◽

Life Insurance ◽

Insurance Contracts ◽

Stochastic Interest ◽

Premium Model

Optimal Portfolios with Stochastic Interest Rates and Defaultable Assets

10.1007/978-3-642-17041-6 ◽

2004 ◽

Cited By ~ 7

Author(s):

Holger Kraft

Keyword(s):

Interest Rates ◽

Optimal Portfolios ◽

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

10.2139/ssrn.1283186 ◽

2008 ◽

Author(s):

Francois Quittard-Pinon ◽

Rivo A Randrianarivony

Keyword(s):

Interest Rates ◽

A Note on Exchange Options Under Stochastic Interest Rates

10.2139/ssrn.1626020 ◽

2010 ◽

Cited By ~ 1

Author(s):

Carole Bernard ◽

Zhenyu Cui

Keyword(s):

Interest Rates ◽

Stochastic Interest ◽

Exchange Options

Dynamic Model of Pension Savings Management with Stochastic Interest Rates and Stock Returns

10.2139/ssrn.1635879 ◽

2010 ◽

Author(s):

Igor Melichercik ◽

Daniel Sevcovic

Keyword(s):

Interest Rates ◽

Stock Returns ◽

Dynamic Model ◽

A Hybrid Model for Equity Indices and Stochastic Interest Rates

10.2139/ssrn.2173273 ◽

2012 ◽

Author(s):

Jan F. Baldeaux ◽

Man Chung Fung ◽

Katja Ignatieva ◽

Eckhard Platen

Keyword(s):

Interest Rates ◽

Hybrid Model ◽

Stochastic Interest ◽

Equity Indices

Dynamic Asset Allocation Under VAR Constraint with Stochastic Interest Rates

10.2139/ssrn.2324172 ◽

2008 ◽

Author(s):

Donatien Hainaut

Keyword(s):

Interest Rates ◽

Asset Allocation ◽

Dynamic Asset Allocation ◽

Revisiting the Classical Models: Black-Scholes and Heston With Stochastic Interest Rates and Term Structure of Volatilities

10.2139/ssrn.3192823 ◽

2018 ◽

Author(s):

Alberto Bueno-Guerrero

Keyword(s):

Interest Rates ◽

Term Structure ◽

Stochastic Interest ◽

Black Scholes ◽

Classical Models