A general asset–liability management model for the efficient simulation of portfolios of life insurance policies

A Theory of the Term Structure of Interest Rates

John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations

Business, Economics, Finance +17

Numerical integration using sparse grids

Thomas Gerstner, Michael Griebel · Numerical Algorithms · 1998 · 916 citations

Computing, Computational Engineering, Computer Science +13

Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

Anders Grosen, Peter Løchte Jørgensen · Insurance Mathematics and Economics · 2000 · 401 citations

Business, Finance, Insurance +16

Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework

Anders Grosen, Peter Løchte Jørgensen · Journal of Risk & Insurance · 2002 · 229 citations

Business, Finance, Insurance +14

On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls

Éric Briys, François de Varenne · Journal of Risk & Insurance · 1997 · 197 citations

Business, Finance, Insurance +15