Pricing Dynamic Investment Fund Protection

By Hans U. Gerber, G. Pafumi. 2000

70 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/44152128e35afe9cdd309ddf600e95091a8f4dec

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Citations in the corpus

Pricing Lookback Options and Dynamic Guarantees (2003, background): “formula (5.19) reduces to (2.8) of Gerber and Pafumi (2000) .”
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009, unknown): “These techniques allow the investor to limit downside risk while retaining some potential in case of an upside market move which is however reduced in comparison with the unprotected portfolio (see [14] for a comparison of cost of different portfolio insurance strategies).”
Valuing equity-linked death benefits and other contingent options: A discounted density approach (2012, background): “Section 7 values ‘‘dynamic fundprotection’’ (Gerber and Pafumi, 2000; Gerber and Shiu, 2003b) when the guarantee is effective until time τ .”
Optimal portfolio management with American capital guarantee (2005, background): “JEL classi/cation: C61; D81; G11; G13 Keywords: Portfolio optimization; American options; Dynamic asset allocation”
Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends (2003, unknown): “(6.9) Formula (6.8) generalizes (2.13) (or [2.15] and [2.16]) in Gerber and Pafumi (2000).”
Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin (2004, methodology): “Discussion of Gerber and Pafumi (2000).”
Financial valuation of guaranteed minimum withdrawal benefits (2006, background): “The dynamic model we have selecte he underlying investment account is consistent w arge volume of research on “pricing insurance g ntees” such as Gerber and Shiu (2003) or Windcliff et l. (2001)for example.”