Quantitative Finance, Volume 14, Issue 2 (2014)

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Quantitative Finance, Volume 14, Issue 2 (2014)

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Themed Issue on Pensions and Insurance

Features

Article
The market pricing of the lifeboat provision in a closed-end fund
Chunyang Zhou, Chongfeng Wu & Wenfeng Wu
Pages: 189-197
Published online: 18 Dec 2013
First Page PreviewforThe market pricing of the lifeboat provision in a closed-end fund | Full Text | References | PDF (493.9 KB)
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Article
Parsimonious HJM modelling for multiple yield curve dynamics
N. Moreni & A. Pallavicini
Pages: 199-210
Published online: 18 Dec 2013
First Page PreviewforParsimonious HJM modelling for multiple yield curve dynamics | Full Text | References | PDF (926.5 KB)
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Book Review

Book Review
Market Liquidity: Asset Pricing, Risk, and Crises
Robert Korajczyk
Pages: 211-212
Published online: 25 Oct 2013
CitationforMarket Liquidity: Asset Pricing, Risk, and Crises | Full Text | References | PDF (183.4 KB)
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Free Access

Calendar

Calendar
Calendar
Page: 213
Published online: 18 Dec 2013
CitationforCalendar | Full Text | PDF (48.8 KB)
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Research Papers

Article
Longevity hedge effectiveness: a decomposition
Andrew J.G. Cairns, Kevin Dowd, David Blake & Guy D. Coughlan
Pages: 217-235
Published online: 20 Feb 2013
AbstractforLongevity hedge effectiveness: a decomposition | Full Text | References | PDF (689.3 KB)
  • 715 Views
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Article
On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
Elena Vigna
Pages: 237-258
Published online: 14 Aug 2012
AbstractforOn efficiency of mean–variance based portfolio selection in defined contribution pension schemes | Full Text | References | PDF (448.6 KB)
  • 895 Views
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Article
Valuing clustering in catastrophe derivatives
Sebastian Jaimungal & Yuxiang Chong
Pages: 259-270
Published online: 26 Jun 2013
AbstractforValuing clustering in catastrophe derivatives | Full Text | References | PDF (395.4 KB)
  • 286 Views
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Review

Review Article
Estimation methods for expected shortfall
Saralees Nadarajah, Bo Zhang & Stephen Chan
Pages: 271-291
Published online: 30 Jul 2013
AbstractforEstimation methods for expected shortfall | Full Text | References | PDF (295.3 KB)
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Research Papers

Article
Estimation of tail-related value-at-risk measures: range-based extreme value approach
Heng-Chih Chou & David K. Wang
Pages: 293-304
Published online: 11 Sep 2013
AbstractforEstimation of tail-related value-at-risk measures: range-based extreme value approach | Full Text | References | PDF (176.1 KB)
  • 412 Views
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Article
How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used
Jung-Bin Su
Pages: 305-325
Published online: 17 Jan 2013
AbstractforHow to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used | Full Text | References | PDF (1.3 MB)
  • 191 Views
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Article
The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees
Jing Li & Alexander Szimayer
Pages: 327-342
Published online: 11 Sep 2013
AbstractforThe effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees | Full Text | References | PDF (975.7 KB)
  • 379 Views
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Article
Bayesian analysis of equity-linked savings contracts with American-style options
Arto Luoma, Anne Puustelli & Lasse Koskinen
Pages: 343-356
Published online: 22 Jul 2013
AbstractforBayesian analysis of equity-linked savings contracts with American-style options | Full Text | References | PDF (281.4 KB)
  • 195 Views
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Article
Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
Filip Uzelac & Alexander Szimayer
Pages: 357-368
Published online: 26 Jun 2013
AbstractforValuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model | Full Text | References | PDF (187.5 KB)
  • 230 Views
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Article
Valuing guaranteed withdrawal benefits with stochastic interest rates and volatility
Ryan Donnelly, Sebastian Jaimungal & Dmitri H. Rubisov
Pages: 369-382
Published online: 20 Nov 2013
AbstractforValuing guaranteed withdrawal benefits with stochastic interest rates and volatility | Full Text | References | PDF (841.5 KB)
  • 285 Views
  • 21 CrossRef citations
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