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Market Based Tools for Managing the Life Insurance Company

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  • Felice, Massimo De
  • Moriconi, Franco

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  • Felice, Massimo De & Moriconi, Franco, 2005. "Market Based Tools for Managing the Life Insurance Company," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 35(01), pages 79-111, May.
  • Handle: RePEc:cup:astinb:v:35:y:2005:i:01:p:79-111_01
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    References listed on IDEAS

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    1. Dionne, G. & Vanasse, C., 1988. "A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component," Cahiers de recherche 8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    3. Dionne, Georges & Gagne, Robert & Gagnon, Francois & Vanasse, Charles, 1997. "Debt, moral hazard and airline safety An empirical evidence," Journal of Econometrics, Elsevier, vol. 79(2), pages 379-402, August.
    4. Pinquet, Jean, 1998. "Designing Optimal Bonus-Malus Systems from Different Types of Claims," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 28(02), pages 205-220, November.
    5. Pinquet, Jean, 1997. "Allowance for Cost of Claims in Bonus-Malus Systems," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 27(01), pages 33-57, May.
    6. Dionne, G. & Maurice, M. & Pinquet, J. & Vanasse, C., 2001. "The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance," Ecole des Hautes Etudes Commerciales de Montreal- 01-05, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
    7. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-938, July.
    8. Teugels, Jozef L. & Sundt, Bjorn, 1991. "A stop-loss experience rating scheme for fleets of cars," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 173-179, December.
    9. Gourieroux, Christian & Magnac, Thierry, 1997. "Duration, transition and count data models Introduction," Journal of Econometrics, Elsevier, vol. 79(2), pages 195-199, August.
    10. Marcel Boyer & Georges Dionne, 1987. "Description and Analysis of the Quebec Automobile Insurance Plan," Canadian Public Policy, University of Toronto Press, vol. 13(2), pages 181-195, June.
    11. J. Pinquet, 1997. "Experience rating through heterogeneous models," THEMA Working Papers 97-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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    Cited by:

    1. Kevin Fergusson & Eckhard Platen, 2013. "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series 338, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Gerstner, Thomas & Griebel, Michael & Holtz, Markus & Goschnick, Ralf & Haep, Marcus, 2008. "A general asset-liability management model for the efficient simulation of portfolios of life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 704-716, April.
    4. Jonas Alm & Filip Lindskog, 2015. "Valuation of Index-Linked Cash Flows in a Heath–Jarrow–Morton Framework," Risks, MDPI, Open Access Journal, vol. 3(3), pages 1-27, September.
    5. 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.
    6. Gerstner, Thomas & Griebel, Michael & Holtz, Markus, 2009. "Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 434-446, June.
    7. S. Corsaro & P. De Angelis & Z. Marino & F. Perla, 2011. "Participating life insurance policies: an accurate and efficient parallel software for COTS clusters," Computational Management Science, Springer, vol. 8(3), pages 219-236, August.

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