The uncertain mortality intensity framework: Pricing and hedging unit-linked life insurance contracts
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cristina Ciumas & Diana-Maria Chis, 2015. "A Comparative Analysis Between Unit-Linked Life Insurance And Other Alternative Investments," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 3, pages 27-36, June.
- Tahir Choulli & Catherine Daveloose & Mich`ele Vanmaele, 2015. "A martingale representation theorem and valuation of defaultable securities," Papers 1510.05858, arXiv.org, revised May 2018.
- Francesca Biagini & Yinglin Zhang, 2017. "Reduced-form framework under model uncertainty," Papers 1707.04475, arXiv.org, revised Mar 2018.
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- Biagini, Francesca & Zhang, Yinglin, 2016. "Polynomial diffusion models for life insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 114-129.
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- Francesca Biagini & Yinglin Zhang, 2016. "Polynomial Diffusion Models for Life Insurance Liabilities," Papers 1602.07910, arXiv.org, revised Sep 2016.
- Gan, Guojun, 2013. "Application of data clustering and machine learning in variable annuity valuation," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 795-801.
More about this item
KeywordsUnit-linked life insurance contracts; Mortality model risk; Price bounds; Stochastic control;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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