Loisel, Stéphane; Piette, Pierrick; Tsai, Cheng-Hsien Jason Applying economic measures to lapse risk management with machine learning approaches. (English) Zbl 1480.91224 ASTIN Bull. 51, No. 3, 839-871 (2021). MSC: 91G05 68T05 PDF BibTeX XML Cite \textit{S. Loisel} et al., ASTIN Bull. 51, No. 3, 839--871 (2021; Zbl 1480.91224) Full Text: DOI arXiv OpenURL
Salahnejhad Ghalehjooghi, Ahmad; Pelsser, Antoon Time-consistent and market-consistent actuarial valuation of the participating pension contract. (English) Zbl 1475.91315 Scand. Actuar. J. 2021, No. 4, 266-294 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 PDF BibTeX XML Cite \textit{A. Salahnejhad Ghalehjooghi} and \textit{A. Pelsser}, Scand. Actuar. J. 2021, No. 4, 266--294 (2021; Zbl 1475.91315) Full Text: DOI OpenURL
Le Courtois, Olivier; Quittard-Pinon, François; Su, Xiaoshan Pricing and hedging defaultable participating contracts with regime switching and jump risk. (English) Zbl 1444.91192 Decis. Econ. Finance 43, No. 1, 303-339 (2020). MSC: 91G05 91G40 60J74 PDF BibTeX XML Cite \textit{O. Le Courtois} et al., Decis. Econ. Finance 43, No. 1, 303--339 (2020; Zbl 1444.91192) Full Text: DOI OpenURL
Zheng, Haitao; Hao, Junzhang; Bai, Manying; Zhang, Zhengjun Valuation of guaranteed unitized participating life insurance under MEGB2 distribution. (English) Zbl 1453.91088 Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019). MSC: 91G05 PDF BibTeX XML Cite \textit{H. Zheng} et al., Discrete Dyn. Nat. Soc. 2019, Article ID 9439786, 16 p. (2019; Zbl 1453.91088) Full Text: DOI OpenURL
Kang, Boda; Ziveyi, Jonathan Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates. (English) Zbl 1400.91249 Insur. Math. Econ. 79, 43-56 (2018). MSC: 91B30 91G20 91G30 PDF BibTeX XML Cite \textit{B. Kang} and \textit{J. Ziveyi}, Insur. Math. Econ. 79, 43--56 (2018; Zbl 1400.91249) Full Text: DOI Link OpenURL
Cheng, Chunli; Li, Jing Early default risk and surrender risk: impacts on participating life insurance policies. (English) Zbl 1398.91318 Insur. Math. Econ. 78, 30-43 (2018). MSC: 91B30 91G60 65M06 PDF BibTeX XML Cite \textit{C. Cheng} and \textit{J. Li}, Insur. Math. Econ. 78, 30--43 (2018; Zbl 1398.91318) Full Text: DOI OpenURL
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. Intensity-based framework for surrender modeling in life insurance. (English) Zbl 1394.91230 Insur. Math. Econ. 72, 189-196 (2017). MSC: 91B30 62P05 91G30 PDF BibTeX XML Cite \textit{V. Russo} et al., Insur. Math. Econ. 72, 189--196 (2017; Zbl 1394.91230) Full Text: DOI OpenURL
Shen, Yang; Sherris, Michael; Ziveyi, Jonathan Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options. (English) Zbl 1369.91195 Insur. Math. Econ. 69, 127-137 (2016). MSC: 91G60 91B30 PDF BibTeX XML Cite \textit{Y. Shen} et al., Insur. Math. Econ. 69, 127--137 (2016; Zbl 1369.91195) Full Text: DOI OpenURL
Bernard, Carole; Kwak, Minsuk Semi-static hedging of variable annuities. (English) Zbl 1348.91128 Insur. Math. Econ. 67, 173-186 (2016). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{C. Bernard} and \textit{M. Kwak}, Insur. Math. Econ. 67, 173--186 (2016; Zbl 1348.91128) Full Text: DOI OpenURL
Bernard, Carole; MacKay, Anne; Muehlbeyer, Max Optimal surrender policy for variable annuity guarantees. (English) Zbl 1296.91144 Insur. Math. Econ. 55, 116-128 (2014). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{C. Bernard} et al., Insur. Math. Econ. 55, 116--128 (2014; Zbl 1296.91144) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{F. Uzelac} and \textit{A. Szimayer}, Quant. Finance 14, No. 2, 357--368 (2014; Zbl 1403.91201) Full Text: DOI OpenURL
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 PDF BibTeX XML Cite \textit{J. Li} and \textit{A. Szimayer}, Quant. Finance 14, No. 2, 327--342 (2014; Zbl 1294.91079) Full Text: DOI Link OpenURL
Ramos, Ana Rita; Simões, Onofre Alves Valuing the profit share in participating pure-endowment policies with return of premiums. (English) Zbl 1304.91131 Eur. Actuar. J. 3, No. 2, 515-533 (2013). MSC: 91B30 91G99 91B40 PDF BibTeX XML Cite \textit{A. R. Ramos} and \textit{O. A. Simões}, Eur. Actuar. J. 3, No. 2, 515--533 (2013; Zbl 1304.91131) Full Text: DOI OpenURL
Gan, Guojun Application of data clustering and machine learning in variable annuity valuation. (English) Zbl 1290.91086 Insur. Math. Econ. 53, No. 3, 795-801 (2013). MSC: 91B30 62P05 62H30 68T05 91G20 PDF BibTeX XML Cite \textit{G. Gan}, Insur. Math. Econ. 53, No. 3, 795--801 (2013; Zbl 1290.91086) Full Text: DOI OpenURL
Fard, Farzad Alavi; Siu, Tak Kuen Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach. (English) Zbl 1290.91179 Insur. Math. Econ. 53, No. 3, 712-721 (2013). MSC: 91G60 91B30 60J75 PDF BibTeX XML Cite \textit{F. A. Fard} and \textit{T. K. Siu}, Insur. Math. Econ. 53, No. 3, 712--721 (2013; Zbl 1290.91179) Full Text: DOI OpenURL
Le Courtois, Olivier; Nakagawa, Hidetoshi On surrender and default risks. (English) Zbl 1282.91156 Math. Finance 23, No. 1, 143-168 (2013). MSC: 91B30 91G40 91G30 PDF BibTeX XML Cite \textit{O. Le Courtois} and \textit{H. Nakagawa}, Math. Finance 23, No. 1, 143--168 (2013; Zbl 1282.91156) Full Text: DOI OpenURL
Schmeiser, H.; Wagner, J. A joint valuation of premium payment and surrender options in participating life insurance contracts. (English) Zbl 1228.91048 Insur. Math. Econ. 49, No. 3, 580-596 (2011). MSC: 91B30 91G20 PDF BibTeX XML Cite \textit{H. Schmeiser} and \textit{J. Wagner}, Insur. Math. Econ. 49, No. 3, 580--596 (2011; Zbl 1228.91048) Full Text: DOI Link OpenURL
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro Regression-based algorithms for life insurance contracts with surrender guarantees. (English) Zbl 1210.91056 Quant. Finance 10, No. 9, 1077-1090 (2010). MSC: 91B30 91G60 65C05 PDF BibTeX XML Cite \textit{A. R. Bacinello} et al., Quant. Finance 10, No. 9, 1077--1090 (2010; Zbl 1210.91056) Full Text: DOI OpenURL
Bacinello, Anna Rita; Biffis, Enrico; Millossovich, Pietro Pricing life insurance contracts with early exercise features. (English) Zbl 1179.91098 J. Comput. Appl. Math. 233, No. 1, 27-35 (2009). MSC: 91B30 91G20 91G60 65C05 PDF BibTeX XML Cite \textit{A. R. Bacinello} et al., J. Comput. Appl. Math. 233, No. 1, 27--35 (2009; Zbl 1179.91098) Full Text: DOI OpenURL
Gerstner, Thomas; Griebel, Michael; Holtz, Markus Efficient deterministic numerical simulation of stochastic asset-liability management models in life insurance. (English) Zbl 1162.91412 Insur. Math. Econ. 44, No. 3, 434-446 (2009). MSC: 91B30 65C05 PDF BibTeX XML Cite \textit{T. Gerstner} et al., Insur. Math. Econ. 44, No. 3, 434--446 (2009; Zbl 1162.91412) Full Text: DOI OpenURL
Gatzert, Nadine Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement. (English) Zbl 1152.91580 Insur. Math. Econ. 42, No. 2, 839-849 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{N. Gatzert}, Insur. Math. Econ. 42, No. 2, 839--849 (2008; Zbl 1152.91580) Full Text: DOI OpenURL
Gerstner, Thomas; Griebel, Michael; Holtz, Markus; Goschnick, Ralf; Haep, Marcus A general asset-liability management model for the efficient simulation of portfolios of life insurance policies. (English) Zbl 1152.91581 Insur. Math. Econ. 42, No. 2, 704-716 (2008). MSC: 91B30 PDF BibTeX XML Cite \textit{T. Gerstner} et al., Insur. Math. Econ. 42, No. 2, 704--716 (2008; Zbl 1152.91581) Full Text: DOI OpenURL
Kleinow, Torsten; Willder, Mark The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees. (English) Zbl 1183.91072 Insur. Math. Econ. 40, No. 3, 445-458 (2007). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{T. Kleinow} and \textit{M. Willder}, Insur. Math. Econ. 40, No. 3, 445--458 (2007; Zbl 1183.91072) Full Text: DOI OpenURL
Gaillardetz, Patrice; Lin, X. Sheldon Valuation of equity-linked insurance and annuity products with binomial models. (English) Zbl 1480.91204 N. Am. Actuar. J. 10, No. 4, 117-144 (2006). MSC: 91G05 60G44 PDF BibTeX XML Cite \textit{P. Gaillardetz} and \textit{X. S. Lin}, N. Am. Actuar. J. 10, No. 4, 117--144 (2006; Zbl 1480.91204) Full Text: DOI OpenURL
Chu, Chi Chiu; Kwok, Yue Kuen Pricing participating policies with rate guarantees. (English) Zbl 1184.91110 Int. J. Theor. Appl. Finance 9, No. 4, 517-532 (2006). MSC: 91B30 91G20 91B25 PDF BibTeX XML Cite \textit{C. C. Chu} and \textit{Y. K. Kwok}, Int. J. Theor. Appl. Finance 9, No. 4, 517--532 (2006; Zbl 1184.91110) Full Text: DOI OpenURL
Barbarin, Jérome; Devolder, Pierre Risk measure and fair valuation of an investment guarantee in life insurance. (English) Zbl 1125.91061 Insur. Math. Econ. 37, No. 2, 297-323 (2005). MSC: 91B30 91B28 60H10 60H30 PDF BibTeX XML Cite \textit{J. Barbarin} and \textit{P. Devolder}, Insur. Math. Econ. 37, No. 2, 297--323 (2005; Zbl 1125.91061) Full Text: DOI OpenURL
Bacinello, Anna Rita Endogenous model of surrender conditions in equity-linked life insurance. (English) Zbl 1118.91054 Insur. Math. Econ. 37, No. 2, 270-296 (2005). MSC: 91B30 PDF BibTeX XML Cite \textit{A. R. Bacinello}, Insur. Math. Econ. 37, No. 2, 270--296 (2005; Zbl 1118.91054) Full Text: DOI OpenURL
Ballotta, Laura A Lévy process-based framework for the fair valuation of participating life insurance contracts. (English) Zbl 1125.91060 Insur. Math. Econ. 37, No. 2, 173-196 (2005). MSC: 91B30 91B70 60G51 PDF BibTeX XML Cite \textit{L. Ballotta}, Insur. Math. Econ. 37, No. 2, 173--196 (2005; Zbl 1125.91060) Full Text: DOI Link OpenURL