A review of the Markov model of life insurance with a view to surplus
Fuente:
arXiv
Guardado en:
| Autores principales: | Haçarız, Oytun, Kleinow, Torsten, Macdonald, Angus S. |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
Ejemplares similares
Lapse-supported life insurance and adverse selection
por: Haçarız, Oytun, et al.
Publicado: (2024)
por: Haçarız, Oytun, et al.
Publicado: (2024)
On the valuation of life insurance policies for dependent coupled lives
por: Henshaw, Kira, et al.
Publicado: (2024)
por: Henshaw, Kira, et al.
Publicado: (2024)
European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
por: Nzokem, A. H.
Publicado: (2023)
por: Nzokem, A. H.
Publicado: (2023)
On some semi-parametric estimates for European option prices
por: Marinelli, Carlo
Publicado: (2023)
por: Marinelli, Carlo
Publicado: (2023)
Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
por: Blanco, Sara Ana Solanilla
Publicado: (2024)
por: Blanco, Sara Ana Solanilla
Publicado: (2024)
No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
por: Cherif, Dorsaf, et al.
Publicado: (2024)
por: Cherif, Dorsaf, et al.
Publicado: (2024)
Valuation Model of Chinese Convertible Bonds Based on Monte Carlo Simulation
por: Liu, Yu
Publicado: (2024)
por: Liu, Yu
Publicado: (2024)
Handling model risk with XVAs
por: Bénézet, Cyril, et al.
Publicado: (2022)
por: Bénézet, Cyril, et al.
Publicado: (2022)
Heat modulated affine stochastic volatility models for forward curve dynamics
por: Karbach, Sven
Publicado: (2024)
por: Karbach, Sven
Publicado: (2024)
A recursive formula for the $n^\text{th}$ survival function and the $n^\text{th}$ first passage time distribution for jump and diffusion processes. Applications to the pricing of $n^\text{th}$-to-default CDS
por: Lapolla, Alessio
Publicado: (2025)
por: Lapolla, Alessio
Publicado: (2025)
Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
por: Hanbali, Hamza, et al.
Publicado: (2025)
por: Hanbali, Hamza, et al.
Publicado: (2025)
An extended CIR process with stochastic discontinuities
por: Fontana, Claudio, et al.
Publicado: (2025)
por: Fontana, Claudio, et al.
Publicado: (2025)
Berms without Calibration
por: Feldman, K. E.
Publicado: (2025)
por: Feldman, K. E.
Publicado: (2025)
Fair sharing ratios of Profit and Loss sharing contracts
por: Sagna, Abass
Publicado: (2025)
por: Sagna, Abass
Publicado: (2025)
Universal approximation on non-geometric rough paths and applications to financial derivatives pricing
por: Harang, Fabian A., et al.
Publicado: (2024)
por: Harang, Fabian A., et al.
Publicado: (2024)
Extrema, Barrier Options, and Semi-Analytic Leverage Corrections in Stochastic-Clock Volatility Models
por: Guillaume, Tristan
Publicado: (2026)
por: Guillaume, Tristan
Publicado: (2026)
American option pricing using generalised stochastic hybrid systems
por: Buckwar, Evelyn, et al.
Publicado: (2024)
por: Buckwar, Evelyn, et al.
Publicado: (2024)
Stochastic Policy Gradient Methods in the Uncertain Volatility Model
por: Abbas-Turki, Lokman A, et al.
Publicado: (2026)
por: Abbas-Turki, Lokman A, et al.
Publicado: (2026)
Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements
por: Agarwal, A., et al.
Publicado: (2024)
por: Agarwal, A., et al.
Publicado: (2024)
Pricing of barrier options by marginal functional quantization
por: Sagna, Abass
Publicado: (2010)
por: Sagna, Abass
Publicado: (2010)
Risk-indifference Pricing of American-style Contingent Claims
por: Kumar, Rohini, et al.
Publicado: (2024)
por: Kumar, Rohini, et al.
Publicado: (2024)
Deep learning of transition probability densities for stochastic asset models with applications in option pricing
por: Su, Haozhe, et al.
Publicado: (2021)
por: Su, Haozhe, et al.
Publicado: (2021)
Super-hedging-pricing formulas and Immediate-Profit arbitrage for market models under random horizon
por: Choulli, Tahir, et al.
Publicado: (2024)
por: Choulli, Tahir, et al.
Publicado: (2024)
Scaling Limits for Exponential Hedging in the Brownian Framework
por: Dolinksy, Yan, et al.
Publicado: (2025)
por: Dolinksy, Yan, et al.
Publicado: (2025)
Dynamic Asset Pricing Theory for Life Contingent Risks
por: Ling, Patrick
Publicado: (2025)
por: Ling, Patrick
Publicado: (2025)
Notes on Correlation Stress Tests
por: Chmielowski, Piotr
Publicado: (2025)
por: Chmielowski, Piotr
Publicado: (2025)
European Options in Market Models with Multiple Defaults: the BSDE approach
por: Grigorova, Miryana, et al.
Publicado: (2026)
por: Grigorova, Miryana, et al.
Publicado: (2026)
Interest rate convexity in a Gaussian framework
por: Jacquier, Antoine, et al.
Publicado: (2023)
por: Jacquier, Antoine, et al.
Publicado: (2023)
Stochastic mortality models: An infinite dimensional approach
por: Tappe, Stefan, et al.
Publicado: (2019)
por: Tappe, Stefan, et al.
Publicado: (2019)
Filtering in a hazard rate change-point model with financial and life-insurance applications
por: Buttarazzi, Matteo, et al.
Publicado: (2025)
por: Buttarazzi, Matteo, et al.
Publicado: (2025)
On short-time behavior of implied volatility in a market model with indexes
por: Chau, Huy N., et al.
Publicado: (2024)
por: Chau, Huy N., et al.
Publicado: (2024)
VIX options in the SABR model
por: Pirjol, Dan, et al.
Publicado: (2025)
por: Pirjol, Dan, et al.
Publicado: (2025)
VIX options in Bergomi models
por: Guo, Desen, et al.
Publicado: (2026)
por: Guo, Desen, et al.
Publicado: (2026)
Multivariate Lévy models: calibration and pricing
por: Amici, Giovanni, et al.
Publicado: (2023)
por: Amici, Giovanni, et al.
Publicado: (2023)
CBI-time-changed Lévy processes for multi-currency modeling
por: Fontana, Claudio, et al.
Publicado: (2021)
por: Fontana, Claudio, et al.
Publicado: (2021)
Asian options for local-stochastic volatility models in the short-maturity regime
por: Pirjol, Dan, et al.
Publicado: (2024)
por: Pirjol, Dan, et al.
Publicado: (2024)
Short-maturity options on realized variance in local-stochastic volatility models
por: Pirjol, Dan, et al.
Publicado: (2024)
por: Pirjol, Dan, et al.
Publicado: (2024)
Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility
por: Pirjol, Dan, et al.
Publicado: (2023)
por: Pirjol, Dan, et al.
Publicado: (2023)
Short-maturity asymptotics for VIX and European options in local-stochastic volatility models
por: Pirjol, Dan, et al.
Publicado: (2024)
por: Pirjol, Dan, et al.
Publicado: (2024)
SABR/LIBOR market models: pricing and calibration for some interest rate derivatives
por: Ferreiro, A. M., et al.
Publicado: (2024)
por: Ferreiro, A. M., et al.
Publicado: (2024)
Ejemplares similares
-
Lapse-supported life insurance and adverse selection
por: Haçarız, Oytun, et al.
Publicado: (2024) -
On the valuation of life insurance policies for dependent coupled lives
por: Henshaw, Kira, et al.
Publicado: (2024) -
European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis
por: Nzokem, A. H.
Publicado: (2023) -
On some semi-parametric estimates for European option prices
por: Marinelli, Carlo
Publicado: (2023) -
Local sensitivity analysis of heating degree day and cooling degree day temperature derivatives prices
por: Blanco, Sara Ana Solanilla
Publicado: (2024)