Donnelly, Ryan; Jaimungal, Sebastian; Rubisov, Dmitri H. Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility. (English) Zbl 1294.91075 Quant. Finance 14, No. 2, 369-382 (2014). MSC: 91B30 91G20 × Cite Format Result Cite Review PDF Full Text: DOI
Uzelac, Filip; Szimayer, Alexander Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model. (English) Zbl 1403.91201 Quant. Finance 14, No. 2, 357-368 (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91B30 91G20 91G60 60J28 × Cite Format Result Cite Review PDF Full Text: DOI
Luoma, Arto; Puustelli, Anne; Koskinen, Lasse Bayesian analysis of equity-linked savings contracts with American-style options. (English) Zbl 1294.91177 Quant. Finance 14, No. 2, 343-356 (2014). MSC: 91G20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Jing; Szimayer, Alexander The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees. (English) Zbl 1294.91079 Quant. Finance 14, No. 2, 327-342 (2014). MSC: 91B30 91G60 × Cite Format Result Cite Review PDF Full Text: DOI Link
Su, Jung-Bin How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used. (English) Zbl 1294.91198 Quant. Finance 14, No. 2, 305-325 (2014). MSC: 91G70 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Chou, Heng-Chih; Wang, David K. Estimation of tail-related value-at-risk measures: range-based extreme value approach. (English) Zbl 1294.91192 Quant. Finance 14, No. 2, 293-304 (2014). MSC: 91G70 62P05 62M10 60G70 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Nadarajah, Saralees; Zhang, Bo; Chan, Stephen Estimation methods for expected shortfall. (English) Zbl 1294.91196 Quant. Finance 14, No. 2, 271-291 (2014). MSC: 91G70 91-02 62P05 91B30 × Cite Format Result Cite Review PDF Full Text: DOI
Jaimungal, Sebastian; Chong, Yuxiang Valuing clustering in catastrophe derivatives. (English) Zbl 1294.91077 Quant. Finance 14, No. 2, 259-270 (2014). MSC: 91B30 91G20 91G60 × Cite Format Result Cite Review PDF Full Text: DOI
Vigna, Elena On efficiency of mean-variance based portfolio selection in defined contribution pension schemes. (English) Zbl 1294.91168 Quant. Finance 14, No. 2, 237-258 (2014). MSC: 91G10 91B30 90C90 × Cite Format Result Cite Review PDF Full Text: DOI
Cairns, Andrew J. G.; Dowd, Kevin; Blake, David; Coughlan, Guy D. Longevity hedge effectiveness: a decomposition. (English) Zbl 1294.91072 Quant. Finance 14, No. 2, 217-235 (2014). MSC: 91B30 91D20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Moreni, N.; Pallavicini, A. Parsimonious HJM modelling for multiple yield curve dynamics. (English) Zbl 1294.91181 Quant. Finance 14, No. 2, 199-210 (2014). MSC: 91G30 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhou, Chunyang; Wu, Chongfeng; Wu, Wenfeng The market pricing of the lifeboat provision in a closed-end fund. (English) Zbl 1294.91200 Quant. Finance 14, No. 2, 189-197 (2014). MSC: 91G70 91G20 × Cite Format Result Cite Review PDF Full Text: DOI