-
2
-
-
85011217909
-
-
Concept Release No, File number S7–22–97. Washington, DC: American Academy of Actuaries
-
AMERICAN ACADEMY OF ACTUARIES (AAA). 1998. “Response of the American Academy of Actuaries to the Securities and Exchange Commission,” Concept Release No. 33–7438, File number S7–22–97. Washington, DC: American Academy of Actuaries.
-
(1998)
Response of the American Academy of Actuaries to the Securities and Exchange Commission
, pp. 33-7438
-
-
-
3
-
-
85011163548
-
-
Life Practice Note, July. Washington, DC: American Academy of Actuaries
-
AMERICAN ACADEMY OF ACTUARIES (AAA) 1999a. “Special Issues for Equity Indexed Products,” Life Practice Note, July. Washington, DC: American Academy of Actuaries.
-
(1999)
Special Issues for Equity Indexed Products
-
-
-
5
-
-
38249003102
-
Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees
-
Bacinello, A. R., and F. Ortu. 1993. “Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees,” Insurance: Mathematics and Economics 12(3): 245-57.
-
(1993)
Insurance: Mathematics and Economics
, vol.12
, Issue.3
, pp. 245-257
-
-
Bacinello, A.R.1
Ortu, F.2
-
6
-
-
3043004146
-
Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The Lognormal + Vasicek“ Case,”
-
edited
-
Bacinello, A. R., and F. Ortu. 1994. “Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest-Rate Risk: The ”Lognormal + Vasicek“ Case,” in Financial Modeling, pp. 1-25, edited by L. Peccati and M. Viren. Heidelberg, Germany: Physica-Verlag.
-
(1994)
Financial Modeling
, pp. 1-25
-
-
Bacinello, A.R.1
Ortu, F.2
-
7
-
-
0001168080
-
Option Pricing with Transaction Costs and a Nonlinear Black-Scholes Equation
-
Barles, G., and H. M. Soner. 1998. “Option Pricing with Transaction Costs and a Nonlinear Black-Scholes Equation,” Finance and Stochastics 2(4): 369-97.
-
(1998)
Finance and Stochastics
, vol.2
, Issue.4
, pp. 369-397
-
-
Barles, G.1
Soner, H.M.2
-
9
-
-
85015692260
-
The Pricing of Options and Corporate Liabilities
-
Black, F., and M. Sgholes. 1973. “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81(3): 637-54.
-
(1973)
Journal of Political Economy
, vol.81
, Issue.3
, pp. 637-654
-
-
Black, F.1
Sgholes, M.2
-
10
-
-
84910391656
-
Recent Developments in Economic Theory and their Application to Insurance
-
Borcii, K. 1963. “Recent Developments in Economic Theory and their Application to Insurance,” ASTIN Bulletin 2(3): 322-341.
-
(1963)
ASTIN Bulletin
, vol.2
, Issue.3
, pp. 322-341
-
-
Borcii, K.1
-
11
-
-
84994336959
-
-
2nd ed. Schaumburg, IL: Society of Actuaries
-
Bowers, N. L., II. U. Gerber, J. C. Hickman, D. A. Jones, and C. J. Nesbitt. 1997. Actuarial Mathematics. 2nd ed. Schaumburg, IL: Society of Actuaries.
-
(1997)
Actuarial Mathematics
-
-
Bowers, N.L.1
Gerber, I.I.U.2
Hickman, J.C.3
Jones, D.A.4
Nesbitt, C.J.5
-
12
-
-
0010935217
-
Equilibrium Prices of Guarantees under Equity-Linked Contracts
-
Boyle, P. P., and E. S. Schwartz. 1977. “Equilibrium Prices of Guarantees under Equity-Linked Contracts,” Journal of Risk and Insurance 44(4): 639-660.
-
(1977)
Journal of Risk and Insurance
, vol.44
, Issue.4
, pp. 639-660
-
-
Boyle, P.P.1
Schwartz, E.S.2
-
13
-
-
0001018312
-
The Pricing of Equity- Linked Life Insurance Policies with an Asset Value Guarantee
-
Brennan, M. J., and E. S. Schwartz. 1976. “The Pricing of Equity- Linked Life Insurance Policies with an Asset Value Guarantee,” Jourtud of Financial Economics, 3(3): 195-213.
-
(1976)
Jourtud of Financial Economics
, vol.3
, Issue.3
, pp. 195-213
-
-
Brennan, M.J.1
Schwartz, E.S.2
-
14
-
-
0008643888
-
“Alternative Investment Strategies for the Issuers Of Equity Linked Life Insurance Policies with an Asset
-
Brennan, M. J., and E. S. Schwartz. 1979. “Alternative Investment Strategies for the Issuers Of Equity Linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Busitiess 52(1): 63-93.
-
(1979)
Journal of Busitiess
, vol.52
, Issue.1
, pp. 63-93
-
-
Brennan, M.J.1
Schwartz, E.S.2
-
16
-
-
0027561318
-
European Option Pricing with Transaction Costs
-
Davis, M. H. A., V. G. Panas, and T. Zaripiiopoulou. 1993. “European Option Pricing with Transaction Costs,” SIAM Journal on Control and Optimization 31(2): 470-93.
-
(1993)
SIAM Journal on Control and Optimization
, vol.31
, Issue.2
, pp. 470-493
-
-
Davis, M.H.A.1
Panas, V.G.2
Zaripiiopoulou, T.3
-
17
-
-
0002266702
-
American Options and Transaction Fees
-
edited by M. Davis, D.Duffie, W. Fleming and S. Shreve. New York: Springer-Verlag
-
Davis, M. II. A., and T. Zaripiiopoulou. 1995. “American Options and Transaction Fees,” in Mathematical Finance, IMA Vol. 65, pp. 47-62, edited by M. Davis, D. Duffie, W. Fleming and S. Shreve. New York: Springer-Verlag
-
(1995)
Mathematical Finance
, vol.65
, pp. 47-62
-
-
Davis, M.I.I.A.1
Zaripiiopoulou, T.2
-
20
-
-
0000384159
-
Numerical Methods for an Optimal Investment-Consumption Model
-
Fitzpatrick, B., and W. H. Fleming. 1991. “Numerical Methods for an Optimal Investment-Consumption Model,” Mathematics of Operations Research 16(4): 832-41.
-
(1991)
Mathematics of Operations Research
, vol.16
, Issue.4
, pp. 832-841
-
-
Fitzpatrick, B.1
Fleming, W.H.2
-
22
-
-
84974505825
-
-
Föllmer, H., and M. Schweizer. 1988. “Hedging by Sequential Regression: An Introduction to the Mathematics of Option Trading, ASTIN Bulletin 18(2): 147-60.
-
(1988)
ASTIN Bulletin
, vol.18
, Issue.2
, pp. 147-160
-
-
Föllmer, H.1
Schweizer, M.2
-
23
-
-
85011161216
-
Analysis of Basic Actuarial Theory for Fixed Premium Variable Benefit Life Insurance, with Discussion
-
Fraser, J. C., W. N. Miller, and C. M. Sternhell. 1969. “Analysis of Basic Actuarial Theory for Fixed Premium Variable Benefit Life Insurance, with Discussion,” Transactions of the Society of Actuaries 21(1): 343-457.
-
(1969)
Transactions of the Society of Actuaries
, vol.21
, Issue.1
, pp. 343-457
-
-
Fraser, J.C.1
Miller, W.N.2
Sternhell, C.M.3
-
24
-
-
84974054542
-
On Additive Premium Calculation Principles
-
Gerber, H. U. 1974. “On Additive Premium Calculation Principles,” ASTIN Bulletin 7(3): 215-22.
-
(1974)
ASTIN Bulletin
, vol.7
, Issue.3
, pp. 215-222
-
-
Gerber, H.U.1
-
25
-
-
3142725890
-
U. 1976. “A Probabilistic Model for (Life) Contingencies and a Delta-Free Approach to Contingency Reserves,” with discussion
-
Gerber, H. U. 1976. “A Probabilistic Model for (Life) Contingencies and a Delta-Free Approach to Contingency Reserves,” with discussion, Transactions of the Society of Actuaries 28: 127-48.
-
Transactions of the Society of Actuaries
, vol.28
, pp. 127-148
-
-
Gerber, H.1
-
26
-
-
0042186181
-
Utility Functions: From Risk Theory to Finance, with discussion
-
Gerber, H. U., and G. Pafumi. 1998. “Utility Functions: From Risk Theory to Finance,” with discussion, North American Actuarial Journal 2(3): 74-100.
-
(1998)
North American Actuarial Journal
, vol.2
, Issue.3
, pp. 74-100
-
-
Gerber, H.U.1
Pafumi, G.2
-
27
-
-
0000714946
-
Optimal Replication of Contingent Claims under Transaction Costs
-
Hodges, S. D., and A. Neuberger. 1989. “Optimal Replication of Contingent Claims under Transaction Costs,” Review of Futures Markets 8(2): 222-39.
-
(1989)
Review of Futures Markets
, vol.8
, Issue.2
, pp. 222-239
-
-
Hodges, S.D.1
Neuberger, A.2
-
30
-
-
0011090049
-
Optimum Consumption and Portfolio Rules in a Continuous-Time Model
-
Merton, R. C. 1971. “Optimum Consumption and Portfolio Rules in a Continuous-Time Model,” Journal of Economic Theory 3(4): 373-413.
-
(1971)
Journal of Economic Theory
, vol.3
, Issue.4
, pp. 373-413
-
-
Merton, R.C.1
-
32
-
-
85011436156
-
Risk-Minimizing Hedging Strategies for Unit- Linked Life Insurance Contracts
-
Möller, T. 1998. “Risk-Minimizing Hedging Strategies for Unit- Linked Life Insurance Contracts,” ASTIN Bulletin 28(1): 17-47.
-
(1998)
ASTIN Bulletin
, vol.28
, Issue.1
, pp. 17-47
-
-
Möller, T.1
-
33
-
-
85011141399
-
Hedging of Equity-Linked Life Insurance Contracts
-
Möller, T. 2001. “Hedging of Equity-Linked Life Insurance Contracts,” North American Actuarial Journal 5(2): 79-95.
-
(2001)
North American Actuarial Journal
, vol.5
, Issue.2
, pp. 79-95
-
-
Möller, T.1
-
34
-
-
85011250287
-
-
Working paper, Department of Mathematics, University of Michigan, Ann Arbor, Michigan
-
Moore, K. S., and V. R. Young. 2002. “Pricing Equity-Linked Pure Endowments via the Principle of Equivalent Utility.” Working paper, Department of Mathematics, University of Michigan, Ann Arbor, Michigan.
-
(2002)
Pricing Equity-Linked Pure Endowments via the Principle of Equivalent Utility.”
-
-
Moore, K.S.1
Young, V.R.2
-
36
-
-
0038927259
-
Equity-Linked Life Insurance: A Model With Stochastic Interest Rates
-
Nielsen, J. A., and K. Sandmann. 1995. “Equity-Linked Life Insurance: A Model With Stochastic Interest Rates,” Iîisurance: Mathematics and Economics 16(3): 225-53.
-
(1995)
Iîisurance: Mathematics and Economics
, vol.16
, Issue.3
, pp. 225-253
-
-
Nielsen, J.A.1
Sandmann, K.2
-
37
-
-
3142684867
-
Valuation of a Multistate Life Insurance Contract with Random Benefits
-
Persson, S.-A. 1993. “Valuation of a Multistate Life Insurance Contract with Random Benefits,” Scandinavian Journal of Management, 9(Supplement): S73-S86.
-
(1993)
Scandinavian Journal of Management
, vol.9
, pp. S73-S86
-
-
Persson, S.-A.1
-
38
-
-
0001579697
-
“Risk Aversion in the Small and in the Large
-
Pratt, J. W. 1964. “Risk Aversion in the Small and in the Large, Econometrica 32: 122-36.
-
(1964)
Econometrica
, vol.32
, pp. 122-136
-
-
Pratt, J.W.1
-
39
-
-
85011206248
-
Valuing Equity-Indexed Annuities, with discussion
-
Tiong, S. 2000. “Valuing Equity-Indexed Annuities,” with discussion, North American Actuarial Journal 4(4): 149-70.
-
(2000)
North American Actuarial Journal
, vol.4
, Issue.4
, pp. 149-170
-
-
Tiong, S.1
-
40
-
-
0010966556
-
Numerical Schemes for Investment Models with Singular Transactions
-
Tourin, A., and T. Zaripiiopoulou. 1994. “Numerical Schemes for Investment Models with Singular Transactions,” Computational Economics 7(4): 287-307.
-
(1994)
Computational Economics
, vol.7
, Issue.4
, pp. 287-307
-
-
Tourin, A.1
Zaripiiopoulou, T.2
-
41
-
-
84981705128
-
Insurance Pricing and Increased Limits Rate- making by Proportional Hazards Transforms
-
Wang, S. 1995. “Insurance Pricing and Increased Limits Rate- making by Proportional Hazards Transforms,” Insurance: Mathematics and Economics 17(1): 43-54.
-
(1995)
Insurance: Mathematics and Economics
, vol.17
, Issue.1
, pp. 43-54
-
-
Wang, S.1
-
43
-
-
0042278806
-
Computation of Distorted Probabilities for Diffusion Processes via Stochastic Control Methods
-
Young, V. R., and T. Zariphopoulou. 2000. “Computation of Distorted Probabilities for Diffusion Processes via Stochastic Control Methods,” Insurance: Mathematics and Economics 27(1): 1-18.
-
(2000)
Insurance: Mathematics and Economics
, vol.27
, Issue.1
, pp. 1-18
-
-
Young, V.R.1
Zariphopoulou, T.2
|