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Insurance : mathematics and economics-Tomo 43 Número 1 - 2008

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Publicação: Insurance : mathematics and economics

Número: Tomo 43 Número 1 - 2008

Tipo: Normal

Direitos: InC

Título Autor Páginas
The Impact of illiquidity on the asset management of insurance companies R. Berry-Stölzle, Thomas
Optimal investment and life insurance strategies under minimum and maximum constraints Nielsen, Peter Holm
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment Zaglauer, Katharina
Heath-Jarrow-Morton modelling of longevity bonds and the risk minimization of life insurance portfolios Barbarin, Jérôme
Optimal consumption and portfolio choice for pooled annuity funds Stamos, Michael Z.
GARCH option pricing: A semiparametric approach Badescu, Alexandru M.
Tails of random sums of a heavy-tailed number of light-tailed terms Robert, Christian Y.
Worst allocations of policy limits and deductibles Hua, Lei
On option pricing under a completely random measure via a generalized Esscher transform Lau, John W.
Threshold control of mutual insurance with limited commitment Yan, Jia
A Uniform asymptotic estimate for discounted aggregate claims with subexponential tails Hao, Xuemiao
Fitting mixed-effects models when data are left truncated Paulsen, Jostein
Optimal dividend strategies for a risk process under force of interest Albrecher, Hansjörg
Enhanced annuities and the impact of individual underwriting on an insurers profit situation Hoermann, Gudrun
Tail asymptotic results for elliptical distributions Hashorva, Enkelejd
The Effect of modelling parameters on the value of GMWB guarantees Chen, Z.
Quadratic stochastic intensity and prospective mortality tables Gourieroux, C.
Optimal reinsurance under VaR and CTE risk measures