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More on a Stochastic Asset Model for Actuarial Use

Citations

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  1. Consiglio, Andrea & Saunders, David & Zenios, Stavros A., 2006. "Asset and liability management for insurance products with minimum guarantees: The UK case," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 645-667, February.
  2. Consiglio, Andrea & Cocco, Flavio & Zenios, Stavros A., 2008. "Asset and liability modelling for participating policies with guarantees," European Journal of Operational Research, Elsevier, vol. 186(1), pages 380-404, April.
  3. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Johnny Siu‐Hang Li & Mary R. Hardy & Ken Seng Tan, 2010. "On Pricing and Hedging the No‐Negative‐Equity Guarantee in Equity Release Mechanisms," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 499-522, June.
  5. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
  6. Jan G. de Gooijer & Antoni Vidiella-i-Anguera, 2000. "Modelling Seasonalities in Nonlinear Inflation Rates using SEASETARs," Tinbergen Institute Discussion Papers 00-098/4, Tinbergen Institute.
  7. De Gooijer, Jan G. & Vidiella-i-Anguera, Antoni, 2003. "Nonlinear stochastic inflation modelling using SEASETARs," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 3-18, February.
  8. Blake, David & Cairns, Andrew J. G. & Dowd, Kevin, 2001. "Pensionmetrics: stochastic pension plan design and value-at-risk during the accumulation phase," Insurance: Mathematics and Economics, Elsevier, vol. 29(2), pages 187-215, October.
  9. Berketi, Alexandra K. & Macdonald, Angus S., 1999. "The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 117-138, March.
  10. Berketi, Alexandra K., 1999. "Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 349-372, December.
  11. 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.
  12. Cairns, Andrew J. G., 2000. "A discussion of parameter and model uncertainty in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 313-330, December.
  13. Amandha Ganegoda & John Evans, 2017. "The Australian retirement lottery: A system failure," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 3-31, February.
  14. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo S., 2003. "The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 937-969, April.
  15. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
  16. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Gaurav Khemka & Adam Butt, 2017. "Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling," Risks, MDPI, vol. 5(4), pages 1-17, October.
  18. Shu, Lei & Melenberg, Bertrand & Schumacher, Hans, 2016. "An Evaluation of the nFTK," Other publications TiSEM 7b43cdd2-2278-42b7-834a-1, Tilburg University, School of Economics and Management.
  19. S. Seshadri & A. Khanna & F. Harche & R. Wyle, 1999. "A Method for Strategic Asset-Liability Management with an Application to the Federal Home Loan Bank of New York," Operations Research, INFORMS, vol. 47(3), pages 345-360, June.
  20. Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  21. Tokat, Yesim & Rachev, Svetlozar T. & Schwartz, Eduardo, 2000. "The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach," University of California at Santa Barbara, Economics Working Paper Series qt9ph6b5gp, Department of Economics, UC Santa Barbara.
  22. Youssouf A. F. Toukourou & Franc{c}ois Dufresne, 2015. "ON Integrated Chance Constraints in ALM for Pension Funds," Papers 1503.05343, arXiv.org.
  23. Kim Changki, 2009. "Valuing Surrender Options in Korean Interest Indexed Annuities," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(2), pages 1-22, April.
  24. Duxbury, Darren & Summers, Barbara & Hudson, Robert & Keasey, Kevin, 2013. "How people evaluate defined contribution, annuity-based pension arrangements: A behavioral exploration," Journal of Economic Psychology, Elsevier, vol. 34(C), pages 256-269.
  25. Sule Sahin & Adem Yavuz Elveren, 2009. "A Cost Analysis of a Minimum Pension Guarantee for the Individual Pension System in Turkey," Working Paper Series, Department of Economics, University of Utah 2009_13, University of Utah, Department of Economics.
  26. Cairns, Andrew J. G. & Parker, Gary, 1997. "Stochastic pension fund modelling," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 43-79, October.
  27. Wen Chen & Nicolas Langren'e, 2020. "Deep neural network for optimal retirement consumption in defined contribution pension system," Papers 2007.09911, arXiv.org, revised Jul 2020.
  28. Sergio Alvares Maffra & John Armstrong & Teemu Pennanen, 2020. "Stochastic modeling of assets and liabilities with mortality risk," Papers 2005.09974, arXiv.org.
  29. Booth, Philip & Walsh, Duncan, 2001. "An option pricing approach to valuing upward only rent review properties with multiple reviews," Insurance: Mathematics and Economics, Elsevier, vol. 28(2), pages 151-171, April.
  30. Chan, W.S. & Cheung, S.H., 2005. "A bivariate threshold time series model for analyzing Australian interest rates," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 429-437.
  31. Chan, W.S. & Cheung, S.H. & Zhang, L.X. & Wu, K.H., 2008. "Temporal aggregation of equity return time-series models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 172-180.
  32. Lee, Yung-Tsung, 2015. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(3), pages 495-509, March.
  33. Haberman, Steven & Lam, Yuk Patrick & Wong, 1997. "Moving average rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 115-135, September.
  34. Wen Chen & Nicolas Langrené, 2020. "Deep neural network for optimal retirement consumption in defined contribution pension system [Réseau de neurones profond pour consommation à la retraite optimale en système de retraite à cotisatio," Working Papers hal-02909818, HAL.
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