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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137566
Description: The local volatility model is a well-known extension of the Black–Scholes constant volatility model, whereby the volatility is dependent on both time and the underlying asset. This model can be calibr ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1195816
Description: A common feature of retirement income products is that their payouts depend on the lifetime of policyholders. A typical example is a life annuity policy which promises to provide benefits regularly as ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1204025
Description: Recently we developed a new framework in Hirz et al. (2015) to model stochastic mortality using extended CreditRisk+ methodology which is very different from traditional time series methods used for m ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1204027
Description: A variable annuity contract with Guaranteed Minimum Withdrawal Benefit (GMWB) promises to return the entire initial investment through cash withdrawals during the policy life plus the remaining accoun ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1137622
Description: This work is based on the framework proposed by Conrad (1997) to determine the optimal timing of an investment or policy to slow global warming. While Conrad (2007) formulated the problem as a stoppin ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137821
Description: As the old system known in the smash repairs industry as "funny time, funny money" is being replaced by fairer systems based on empirical evidence, there is lack of rigorous analysis based on observed ... More
Reviewed: Reviewed
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