Impact of volatility clustering on equity indexed annuities
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DOI: 10.1016/j.insmatheco.2016.10.009
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Cited by:
- Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018.
"Robust evaluation of SCR for participating life insurances under Solvency II,"
Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 107-123.
- Hainaut, D. & Devolder, P. & Pelsser, A., 2017. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Discussion Papers ISBA 2017011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hainaut, Donatien & Devolder, Pierre & Pelsser, Antoon, 2018. "Robust evaluation of SCR for participating life insurances under Solvency II," LIDAM Reprints ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
- Zeitsch, Peter J., 2019. "A jump model for credit default swaps with hierarchical clustering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 737-775.
- Hainaut, Donatien, 2017. "Contagion modeling between the financial and insurance markets with time changed processes," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 63-77.
- Milevsky, Moshe A., 2020. "Calibrating Gompertz in reverse: What is your longevity-risk-adjusted global age?," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 147-161.
- Yuanchuang Shan & Huisheng Shu & Haoran Yi, 2023. "Pricing Equity-Indexed Annuities under a Stochastic Dividend Model," Mathematics, MDPI, vol. 11(3), pages 1-12, January.
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Keywords
Variable annuities; Life insurance; Hawkes process; Self-exciting process; Jump process;All these keywords.
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