Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

Autor: Quittard-Pinon, François, Randrianarivony, Rivo

Publikováno v: The Geneva Risk and Insurance Review, 2011 Jun 01. 36(1), 51-73.

Externí odkaz: https://www.jstor.org/stable/24712662

Fair Valuation of Participating Life Insurance Contracts with Jump Risk

Autor: Le Courtois, Olivier, Quittard-Pinon, François

Publikováno v: The Geneva Risk and Insurance Review, 2008 Dec 01. 33(2), 106-136.

Externí odkaz: https://www.jstor.org/stable/41953482

Pricing derivatives with barriers in a stochastic interest rate environment

Autor: Bernard, Carole, Le Courtois, Olivier, Quittard-Pinon, François

Publikováno v: In Journal of Economic Dynamics and Control 2008 32(9):2903-2938

Life Insurance with Guarantees

Autor: Quittard-Pinon, François, Kelani, Abdou

Publikováno v: Bankers Markets & Investors : an academic & professional review
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2018, 21-31 p

International audience

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::fce39758602ab716a8d11aee16bca509
https://hal.archives-ouvertes.fr/hal-02312155

Pricing and Hedging Variable Annuities in a Lévy Market: A Risk Management Perspective

Autor: Abdou Kélani, François Quittard-Pinon

Publikováno v: Journal of Risk and Insurance. 84:209-238

Pricing and hedging life insurance contracts with minimum guarantees are major areas of concern for insurers and researchers. In this article, we propose a unified framework for pricing, hedging, and assessing the risk embedded in the guarantees offe

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1efb0f9e6494294d94f69611ee6df57b
https://doi.org/10.1111/jori.12087