Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

By D. Schrager, Antoon Pelsser. 2004

63 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d800851d3c864f661842650f93237e7eb77a86c7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. D. Schrager
2. R. Lord
3. A. V. Haastrecht
4. Antoon Pelsser
5. Marek Rutkowski
6. R. Ahlip

In Economics and Econometrics

1. R. Lord
2. A. V. Haastrecht
3. Antoon Pelsser
4. D. Schrager

In Finance

1. D. Schrager
2. A. V. Haastrecht
3. R. Lord
4. Antoon Pelsser
5. Marek Rutkowski
6. R. Ahlip

Citations in the corpus

• Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility (2009, methodology): “We extend the models by Stein and Stein (1991) and Schöbel and Zhu (1999) to allow for Hull and White (1993) stochastic interest rates as well as correlation between the stock price process, its 1Netspar/University of Amsterdam, Dept.”
• Partially Exact and Bounded Approximations for Arithmetic Asian Options (2006, unknown): “It is shown in Schrager and Pelsser [2004] that when we are in the Black-Scholes framework, the option in (7.”