Concepedia

David Schrager

DS

Statistics

Publications

8

Citations

483

H-Index

8

Active since

2004

Affiliations

University of Amsterdam(Current)

Maastricht University

David Schrager is an author at University of Amsterdam specializing in engineering, finance, and insurance.

Top concepts

EngineeringFinanceBusinessInsuranceAsset PricingOption PricingManagementStatisticsProbabilityStochastic Volatility

Publications per year

2004–2009

8

Publications

8

Affine stochastic mortality

David Schrager · Insurance Mathematics and Economics · 2005 · 197 citations

Engineering, Stochastic Dynamical System, Probability Theory +3

Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

A. van Haastrecht, Roger Lord, Antoon Pelsser et al. · Insurance Mathematics and Economics · 2009 · 80 citations · Full text

Economics, Multivariate Stochastic Volatility, Option Pricing +9

PRICING SWAPTIONS AND COUPON BOND OPTIONS IN AFFINE TERM STRUCTURE MODELS

David Schrager, Antoon Pelsser · Mathematical Finance · 2006 · 78 citations · Full text

Approximate Price, Option Pricing, Affine Models +9

Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

David Schrager, Antoon Pelsser · Insurance Mathematics and Economics · 2004 · 59 citations · Full text

Automobile Insurance, Return Guarantees, Management +4

Pricing Swaptions and Coupon Bond Options in Affine Term Structure Models

David Schrager, Antoon Pelsser · SSRN Electronic Journal · 2004 · 22 citations · Full text

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