Concepedia
European Actuarial Journal · 2011 · 20 citations · 17 references
BusinessBusiness EconomicsFinanceCost Of CapitalCapital RequirementsProduct Life Cycle ManagementHybrid Capital StructuresHybrid Financing StructuresHybrid Manufacturing SystemsSolvency Capital AssessmentSolvency Capital Modeling
17
The pricing of equity-linked life insurance policies with an asset value guarantee
Michael J. Brennan, Eduardo S. Schwartz · Journal of Financial Economics · 1976 · 529 citations
Business, Insurance, Risk Management +12
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
A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
Daniel J. Bauer, Alexander Kling · Astin Bulletin · 2008 · 289 citations · Full text
Business, Economics, Insurance +16
On the discretization schemes for the CIR (and Bessel squared) processes
Aurélien Alfonsi · Monte Carlo Methods and Applications · 2005 · 254 citations
Engineering, Computational Engineering, Computational Physics +14
On the Calculation of the Solvency Capital Requirement Based on Nested Simulations
Daniel J. Bauer, Andreas Reuß, Daniela Singer · Astin Bulletin · 2012 · 87 citations
Business, Insurance, Risk Management +17