| Emmanuel Acar and Andrew Pearson |
Distribution
of Returns Generated by Stochastic Exposure: An Applicaton to
VaR Calculation in the Futures Markets |
| Peter Albrecht and Raimond Maurer |
Self-Annuitization,
Ruin Risk in Retirement and Asset Allocation: The Annuity Benchmark |
| Peter Albrecht, Raimond Maurer
and Ulla Ruckpaul |
The
Risk of Stocks in the Long Run: Unconditional vs. Conditional
Shortfall |
|
Jean-François
Boulier, Pierre Sequier and Grégory Taillard
|
Tactical
Optimization, How to forecast Risks |
| Pieter Bouwknegt and Antoon Pelsser |
Market
Value of Insurance Contracts with Profit Sharing |
| Phelim Boyle, Adam Kolkiewicz
and Ken Seng Tan |
Pricing
American Derivatives using Simulation: A Biased-Low Approach |
| Phelim P. Boyle, Geoge Lai and Ken Seng Tan |
Using
Lattice Rules to Value Low-Dimensional Derivative Contracts |
| Andrew Cairns |
From
Financial Economics to Fair Valuation |
|
Laurent
Chretien and François
Quittard-Pinon
|
Pricing
Formulae for Barrier Caps |
| Robert S. Clarkson |
The
Equity Selection Procedure Model |
| Michael Cohen and Karen Maser |
Survey
of Financial Security Estimating the Value of Employer Pension
Plan Benefits - A Discussion Paper |
| Paul-Antoine Darbellay |
Critical
Approach of the Valuation Methods of a Life Insurance Company
under the Traditional European Statutory View |
| Elke Eberts and Raimond Maurer |
Comparision
of Time Series and Interest Rate Models to Forecasts of the
German Inflation Rate |
| Marc Goovaerts, Ann de Schepper,
David Vyncke, Jan Dhaene and Rob Kaas |
Stable
Laws and the Distribution of Cash-Flows |
| Steven Haberman and Neema Lutula |
Smoothing in Defined Benefit Pension Schemes:
Asset Valuation and Spreading Gains/Losses Part
1 - Part
2 |
| Mahmoud Hamada, Michael Sherris
and John van der Hoek |
Martingale
Methods in Dynamic Portfolio Allocation with Distortion Operators |
| Mary Hardy |
Investment
Guarantees in Equity-Linked Insurance: The Canadian Approach |
| Diego Hernandez |
Hedging
Strategies and Insurance Securitization |
| Werner Hurlimann |
Efficient
Asset Liability Portfolios using Mean-Erc and Mean Variance
Analysis |
| G. M. Koshkin and Y.N. Lopukhin |
On
Estimation of Net Premium in Collective Life Insurance |
| Y. Krvavych |
On
the Stock Price Model Defined by the Fractional Brownian Semilinear
Stochastic Differential Equation: Measure Transformation and
Equilibrium of Stock Market |
| Sheldon Lin and Ken Seng Tan |
Valuation
of Equity - Indexed Annuities and Stochastic Interest Rates |
| B. John Manistre |
The
Financial Economics of Universal Life: An Actuarial Application
of Stochastic Calculus |
| Gennady Medvedev |
The
Asset Pricing when the Interest Rates are Differentiable Stochastic
Processes |
| Moshe A. Milevsky and Thomas S.
Salisbury |
The
Real Option to Lapse a Variable Annuity: Can Surrender Charges
Complete the Market |
| Frank Schnapp |
The
Diversification Property |
| Frank Schnapp |
The
Effect of Risk Diversification on Price |
| Thomas G. Stephan, Raimond Maurer
and Martin Durr |
A
Multiple Factor Model for European Stocks |
| Christian Walter |
Searching
for Scaling Laws in Distributional Properties of Price Variations:
a Review over 40 years |
| Shaun Wang |
A
Universal Framework for Pricing Financial and Insurance Risks |
| Dick Wenting |
The
Pensionfund Situation in the Netherlands, and the Introduction
of a Simple ALM Model |
| A. D. Wilkie |
On
the Risk of Stocks in the Long Run: A Response to Zvi Bodie |
| Yasuo Yamashita |
Cash
Management with Futures in Passive Investment |