Equity-linked pension schemes with guarantees
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Publication:654835
DOI10.1016/j.insmatheco.2011.08.012zbMath1228.91045OpenAlexW3124032179MaRDI QIDQ654835
Erik Schlögl, Klaus Sandmann, Jørgen Aase Nielsen
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp270.pdf
Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)
Related Items (5)
The benefit of life insurance contracts with capped index participation when stock prices are subject to jump risk ⋮ Minimum return guarantees, investment caps, and investment flexibility ⋮ Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ On the optimal design of insurance contracts with guarantees
Cites Work
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