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Market Based Tools for Managing the Life Insurance Company

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  • Felice, Massimo De
  • Moriconi, Franco

Abstract

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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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    Cited by:

    1. 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.
    2. 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.
    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. 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.
    5. 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.
    6. 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.
    7. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.

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