A Levy Process-based Framework for the Fair Valuation of Participating Life Insurance Contracts

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On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010, background): “Ballotta (2006) or Kassberger, Kiesel and Liebmann (2008)).”
MODELING HIGH-FREQUENCY FINANCIAL DATA BY PURE JUMP PROCESSES (2012, background): “Other applications of pure-jump models include reliability theory [Drosen (1986)], insurance valuation [Ballotta (2005)] and financial equilibrium analysis [Madan (2006)].”
Applications of time-delayed backward stochastic differential equations to pricing, hedging and portfolio management in insurance and finance (2010, background): “and is investigated in Ballotta (2005), Ballotta and Haberman (2009).”
Testing for pure-jump processes for high-frequency data (2015, background): “Other applications of pure-jump models include reliability theory [Drosen (1986)], insurance valuation [Ballotta (2005)] and fianancial equilibrium analysis [Madan (2006)].”
Activity Signature Functions for High-Frequency Data Analysis (2010, background): “Other applications of pure-jump models include reliability theory (Drosen, 1986), insurance valuation (Ballotta, 2005), and financial equilibrium analysis (Madan, 2005).”