 | Date | Auteur | | Descriptif | Société | |
|---|
 Divers | |
| Estimation | |
| Finance | |
| Frais de santé | |
| Mathématiques financières & Modèles d'actifs | |
| Mesures de risque | |
| Mortalité prospective | |
| Mortalité stochastique | |
| Optimisation | |
 Options | |
| | BACINELLO A.R. |  | Fair Valuation of the surrender option embedded in a guarantee life insurance participating policy | UNIVERSITÉ TRIESTE | |
| | DEELSTRA G. | | Yield option pricing in the generalized Cox-Ingersoll-Ross model | CREST | |
| 06/30/2010 | NTEUKAM T.O.,PLANCHET F.,THEROND P. | | Optimal strategies of hedging portfolio of unit-linked life insurance contracts with minimum death guarantee | ISFA | |
| 05/06/2009 | JOHANNESEN J.M.,MØLLER T. | | Dynamic programming and efficient hedging for unit-linked insurance contracts | | |
| 05/05/2009 | HAINAUT D. | | Optimal design of pro fit sharing rates by FFT | ESC RENNES | |
| 09/14/2008 | TANKOV P. | | Pricing and hedging gap risk | ECOLE POLYTECHNIQUE | |
| 06/30/2007 | CONT R.,TANKOV P. | | Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices | COLUMBIA UNIVERSITY | |
| 06/01/2007 | BAUER D.,KLING A.,RUSS J. | | A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities | AFIR | |
| 07/01/2006 | COLEMAN T. F.,LI Y.,PATRON M. | | vol 38, pp. 215-228 / Hedging Guarantees in Variable Annuities (Under Both Market and Interest Rate Risks) | INSURANCE: MATHEMATICS AND ECONOMICS | |
| 05/30/2005 | HENRARD M. | | Bermudean Swaptions in Hull-White One-Factor Model: Analytical and Numerical Approaches | BIS | |
| 05/17/2005 | COLEMAN T. F.,KIM Y.,LI Y.,PATRON M. | | Vol 74, pp 347-376 / Robustly Hedging Variable Annuities with Guarantees Under Jump and Volatility Risks | JOURNAL OF RISK AND INSURANCE | |
| 11/07/2004 | DESMEDT S..,CHENUT X.,WALHIN J.F. | | Actuarial Pricing for Minimum Death Guarantees in Unit-Linked Life Insurance: A Multi-Period Capital Allocation Problem | COLLOQUE AFIR | |
| 09/29/2004 | BROADIE M.,KAYA O. | | Exact Simulation of Stochastic Volatility and other Affine Jump Diffusion Processes | COLUMBIA UNIVERSITY | |
| 09/09/2004 | PUJAL D.,SAINT-PIERRE P. | | L'algorithme du bassin de capture appliqué à l'évaluation d'options | UNIVERSITÉ PARIS DAUPHINE | |
| 09/01/2004 | KOU S.G.,WANG H. | | Vol. 50, 1178-1192 / Option pricing under a double exponential jump diffusion model | MANAGEMENT SCIENCE | |
| 07/01/2004 | DEELSTRA G. ,LIINEV J. ,VANMAELE M | | 34 (1), 1-23. / Pricing of arithmetic basket options by conditioning | INSURANCE: MATHEMATICS AND ECONOMICS | |
| 04/20/2004 | BIFFIS E.,MILLOSSOVICH P. | | The fair value of guaranteed annuity options | UNIVERISTÉ DE TRIESTE | |
| 03/26/2004 | CARTEA A.,HOWISON S. | | Option pricing with Lévy-stable process | UNIVERSITY OF OXFORD | |
| 01/01/2004 | GARCIA R.,GHYSELS E. RENAULT E. | | The econometrics of option pricing | CIRANO | |
| 01/01/2004 | HULL J.,PREDESCU M.,WHITE A. | | The Relationship Between Credit Default Swap Spreads, Bond Yields and Credit Rating Annoucements | UNIVERSITY OF TORONTO | |