44 citations · 122 across the 13 of their papers we have counts for
Showing 2015Show all
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q-fin.PR2015★ 1 cited
Variable Annuity with GMWB: surrender or not, that is the question
Xiaolin Luo, Pavel Shevchenko
Under the optimal withdrawal strategy of a policyholder, the pricing of variable annuities with Guaranteed Minimum Withdrawal Benefit (GMWB) is an optimal stochastic control proble…
q-fin.RM2015
Actuarial Applications and Estimation of Extended~CreditRisk
Jonas Hirz, Uwe Schmock, Pavel V. Shevchenko
We introduce an additive stochastic mortality model which allows joint modelling and forecasting of underlying death causes. Parameter families for mortality trends can be chosen f…