المؤلفون: Hanna, Vanessa, Devolder, Pierre

المساهمون: UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles

المصدر: European Actuarial Journal, (2024)

مصطلحات موضوعية: Mixed insurance contracts, Stochastic interest rates, Stochastic mortality, Dependence finance-mortality, Investment guarantee, Change of measure

Relation: boreal:276058; http://hdl.handle.net/2078.1/276058; urn:ISSN:2190-9733; urn:EISSN:2190-9741

الاتاحة: http://hdl.handle.net/2078.1/276058
https://doi.org/10.1007/s13385-023-00354-4

المؤلفون: Longfei Wei, Lu Liu, Jialong Hou

المصدر: Quantitative Finance and Economics, Vol 6, Iss 2, Pp 223-243 (2022)

مصطلحات موضوعية: catastrophe bonds, hybrid trigger mechanism, archimedean copula, extreme value theory, stochastic interest rates, Applied mathematics. Quantitative methods, T57-57.97, Finance, HG1-9999

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2573-0134

URL الوصول: https://doaj.org/article/147f33f8e6ef4bd3aac998d7ee5d2d63

المؤلفون: Bandini E., De Angelis T., Ferrari G., Gozzi F.

المساهمون: Bandini E., De Angelis T., Ferrari G., Gozzi F.

مصطلحات موضوعية: CIR model, free boundary problem, optimal dividend, optimal stopping, singular control, stochastic interest rates

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000742348700001; volume:32; issue:2; firstpage:627; lastpage:677; numberofpages:51; journal:MATHEMATICAL FINANCE; http://hdl.handle.net/2318/1851454; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85122749360

الاتاحة: http://hdl.handle.net/2318/1851454
https://doi.org/10.1111/mafi.12339

المؤلفون: Levendis, Alexis Jacques, Mare, Eben

مصطلحات موضوعية: Heston-Hull-White, Stochastic volatility, Stochastic interest rates, Stochastic mortality, Pricing, Hedging, Guaranteed minimum death benefit (GMDB), Guaranteed minimum maturity benefit (GMMB)

وصف الملف: application/pdf

Relation: Levendis, A. & Mare, E. 2022, 'An economic scenario generator for embedded derivatives in South Africa', South African Actuarial Journal, vol. 22, pp. 79-118. DOI; 10.4314/saaj.v22i1.4; http://hdl.handle.net/2263/92866

الاتاحة: http://hdl.handle.net/2263/92866
https://doi.org/10.4314/saaj.v22i1.4

المؤلفون: Levendis, Alexis Jacques, Mare, Eben

مصطلحات موضوعية: Spread option, Two-asset Heston–Hull–White model, Discounted characteristic function, Fast Fourier transform (FFT), Stochastic interest rates, Geometric Brownian motion (gBm)

وصف الملف: application/pdf

Relation: 1911-8066 (print); 1911-8074 (online); https://repository.up.ac.za/handle/2263/89468

الاتاحة: https://doi.org/10.3390/jrfm15110504
https://repository.up.ac.za/handle/2263/89468

المؤلفون: Battauz, Anna, Rotondi, Francesco

المساهمون: Battauz, Anna, Rotondi, Francesco

مصطلحات موضوعية: Finance, Stochastic processes, American options, Stochastic interest rates

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000794100400001; journal:COMPUTATIONAL MANAGEMENT SCIENCE; http://hdl.handle.net/11577/3447928; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85129804237; https://link.springer.com/content/pdf/10.1007/s10287-022-00427-x.pdf

الاتاحة: http://hdl.handle.net/11577/3447928
https://doi.org/10.1007/s10287-022-00427-x
https://link.springer.com/content/pdf/10.1007/s10287-022-00427-x.pdf

المؤلفون: Cerreia-Vioglio, Simone, Ortu, Fulvio, Rotondi, Francesco, Severino, Federico

المساهمون: Cerreia-Vioglio, Simone, Ortu, Fulvio, Rotondi, Francesco, Severino, Federico

مصطلحات موضوعية: RETURN DECOMPOSITION, MULTIPLE HORIZONS, HORIZON CONSISTENCY, MEAN-VARIANCE FRONTIER, MARTINGALE PRICING, STOCHASTIC INTEREST RATES

وصف الملف: PRINT + ONLINE

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:000813608200001; volume:336; issue:1-2; firstpage:797; lastpage:828; journal:ANNALS OF OPERATIONS RESEARCH; https://hdl.handle.net/11565/4062484; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85132136327; https://link.springer.com/article/10.1007/s10479-022-04798-x

الاتاحة: https://hdl.handle.net/11565/4062484
https://doi.org/10.1007/s10479-022-04798-x
https://link.springer.com/article/10.1007/s10479-022-04798-x

المؤلفون: Barigou, Karim, Delong, Lukasz

المساهمون: Laboratoire de Sciences Actuarielle et Financière (LSAF), Université Claude Bernard Lyon 1 (UCBL), Université de Lyon-Université de Lyon, Warsaw School of Economics, Institut of Econometrics

المصدر: ISSN: 0377-0427 ; Journal of Computational and Applied Mathematics ; https://hal.science/hal-02896141 ; Journal of Computational and Applied Mathematics, 2021, 404 (113922), ⟨10.1016/j.cam.2021.113922⟩.

مصطلحات موضوعية: Equity-linked contracts, Neural networks, Stochastic mortality, BSDEs with jumps, Hull-White stochastic interest rates, Heston model, [QFIN.PR]Quantitative Finance [q-fin]/Pricing of Securities [q-fin.PR]

Relation: info:eu-repo/semantics/altIdentifier/arxiv/2007.08804; ARXIV: 2007.08804

الاتاحة: https://hal.science/hal-02896141
https://hal.science/hal-02896141v2/document
https://hal.science/hal-02896141v2/file/PricingELNN.pdf
https://doi.org/10.1016/j.cam.2021.113922

المؤلفون: Lloyd-Ellis, Huw, Zhan, Shiqiang, Zhu, Xiaodong

المصدر: Journal of Money, Credit and Banking, 2005 Aug 01. 37(4), 699-724.

URL الوصول: https://www.jstor.org/stable/3839059

المؤلفون: Ruan Nel

مصطلحات موضوعية: Other mathematical sciences not elsewhere classified, Options pricing, Compound options, Stochastic interest rates, Stochastic volatility, Correlated interest rates

Relation: https://figshare.com/articles/dataset/Stochastic_volatility_and_correlated_interest_rates_American_pricing_compound_options/26321326

الاتاحة: https://doi.org/10.25403/upresearchdata.26321326.v1
https://figshare.com/articles/dataset/Stochastic_volatility_and_correlated_interest_rates_American_pricing_compound_options/26321326

المؤلفون: Andersson, Johanna

مصطلحات موضوعية: Asset Backed Securities, Mortgage Backed Securities, Securitization, Monte Carlo Simulation, Stochastic Interest Rates, Mathematics, Matematik

وصف الملف: application/pdf

Relation: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-226199

الاتاحة: http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-226199

المؤلفون: Deelstra, Griselda, Grasselli, Martino, Koehl, Pierre-François

المصدر: Journal of Applied Probability, 2000 Dec 01. 37(4), 936-946.

URL الوصول: https://www.jstor.org/stable/3215485

المؤلفون: Lioui, Abraham, Poncet, Patrice

المصدر: Management Science, 2000 May 01. 46(5), 658-668.

URL الوصول: https://www.jstor.org/stable/2661465

المؤلفون: Sande, Åsmund Hausken

المصدر: Sande, Åsmund Hausken. Prospective Reserves of Life Insurance Policies under the Heath-Jarrow-Morton Framework. Master thesis, University of Oslo, 2021

الاتاحة: http://hdl.handle.net/10852/86894
https://www.duo.uio.no/bitstream/handle/10852/86894/1/Thesis_-smund_Hausken_Sande.pdf

المؤلفون: Frey, Rüdiger, Sommer, Daniel

المصدر: Journal of Applied Probability, 1998 Jun 01. 35(2), 501-509.

URL الوصول: https://www.jstor.org/stable/3215704

المؤلفون: Baños, David, Lagunas-Merino, Marc, Ortiz-Latorre, Salvador

مصطلحات موضوعية: ddc:330, unit-linked policies, pure endowment, term insurance, stochastic volatility models, stochastic interest rates

Relation: gbv-ppn:1735237868; Journal: Risks; Volume: 8; Year: 2020; Issue: 3; Pages: 1-23; Basel: MDPI; http://hdl.handle.net/10419/258037

الاتاحة: http://hdl.handle.net/10419/258037
https://doi.org/10.3390/risks8030084

المؤلفون: Rotondi, Francesco

مصطلحات موضوعية: ddc:330, G13, American options, least square method, derivatives pricing, binomial tree, stochastic interest rates, quadrinomial tree

Relation: gbv-ppn:1667892061; Journal: Risks; Volume: 7; Year: 2019; Issue: 2; Pages: 1-20; Basel: MDPI; http://hdl.handle.net/10419/257897

الاتاحة: http://hdl.handle.net/10419/257897
https://doi.org/10.3390/risks7020059

المؤلفون: David Baños, Å. H. Sande, Carlo Sgarra

المساهمون: Baños, David, Sande, Å. H., Sgarra, Carlo

مصطلحات موضوعية: Hawkes Processes, Guaranteed Minimum Maturity Benefit, Unit-Linked Policies, Insurance Mathematics, Stochastic Interest Rates

Relation: info:eu-repo/semantics/altIdentifier/wos/WOS:001126655600001; firstpage:1; lastpage:28; numberofpages:28; journal:NORTH AMERICAN ACTUARIAL JOURNAL; https://hdl.handle.net/11586/463460

الاتاحة: https://hdl.handle.net/11586/463460
https://doi.org/10.1080/10920277.2023.2254836

المؤلفون: Hanna, Vanessa, Devolder, Pierre

المساهمون: UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles

المصدر: European Actuarial Journal, (2023)

مصطلحات موضوعية: Mixed insurance contracts, Stochastic interest rates, Stochastic mortality, Dependence finance-mortality, Investment guarantee, Change of measure, eco, demo

Relation: http://hdl.handle.net/2078.1/276058

الاتاحة: http://hdl.handle.net/2078.1/276058

المؤلفون: Bandini, Elena, De Angelis, Tiziano, Ferrari, Giorgio, Gozzi, Fausto

مصطلحات موضوعية: ddc:330, G11, Optimal dividend, stochastic interest rates, CIR model, singular control, optimal stopping, free boundary problems

Relation: Series: Center for Mathematical Economics Working Papers; No. 636; gbv-ppn:1724832344; urn:nbn:de:0070-pub-29436842; http://hdl.handle.net/10419/227832

الاتاحة: http://hdl.handle.net/10419/227832
https://nbn-resolving.org/urn:nbn:de:0070-pub-29436842