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Quantitative Finance Volume 9, 2009 - Issue 7
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Research Papers

Pricing and capital requirements for with profit contracts: modelling considerations

Laura Ballotta Cass Business School, 106 Bunhill Row, London, EC1Y 8TZ, UKCorrespondence[email protected]
Pages 803-817 | Received 13 Feb 2007, Accepted 24 Jul 2008, Published online: 12 Oct 2009

Citations (8)

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Read on this site (4)

Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2020) Variable annuities in a Lévy-based hybrid model with surrender risk. Quantitative Finance 20:5, pages 867-886.
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Ernst Eberlein & Marcus Rudmann. (2018) Hybrid Lévy Models: Design and Computational Aspects. Applied Mathematical Finance 25:5-6, pages 533-556.
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Brett Shanahan, Farzad Alavi Fard & John van der Hoek. (2017) Pricing participating policies under the Meixner process and stochastic volatility. Scandinavian Actuarial Journal 2017:7, pages 559-583.
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Laura Ballotta. (2010) Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy. North American Actuarial Journal 14:3, pages 355-368.
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Articles from other publishers (4)

Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2021) Fourier based methods for the management of complex life insurance products. Insurance: Mathematics and Economics 101, pages 320-341.
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Carolina Orozco‐Garcia & Hato Schmeiser. (2017) Is Fair Pricing Possible? An Analysis of Participating Life Insurance Portfolios. Journal of Risk and Insurance 86:2, pages 521-560.
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Laura Ballotta, Ernst Eberlein, Thorsten Schmidt & Raghid Zeineddine. (2019) Variable Annuities in a Lévy-Based Hybrid Model With Surrender Risk. SSRN Electronic Journal.
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Laura Ballotta & Steven Haberman. (2009) Investment Strategies and Risk Management for Participating Life Insurance Contracts. SSRN Electronic Journal.
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