Risk measure and fair valuation of an investment guarantee in life insurance
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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 37 (2005)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
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Management Working Papers
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- Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
- Alejandro BalbÃ¡s & Raquel BalbÃ¡s, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa.
- Zaglauer, Katharina & Bauer, Daniel, 2008. "Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 29-40, August.
- Zemp, Alexandra, 2011. "Risk comparison of different bonus distribution approaches in participating life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 249-264, September.
- Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
- Graf, Stefan & Kling, Alexander & Ruß, Jochen, 2011. "Risk analysis and valuation of life insurance contracts: Combining actuarial and financial approaches," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 115-125, July.
- Eling, Martin & Holder, Stefan, 2012. "The Value of Interest Rate Guarantees in Participating Life insurance Contracts: Status Quo and Alternative Product Design," Working Papers on Finance 1221, University of St. Gallen, School of Finance.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
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