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題名:投資連結保險之動態避險與內在風險:評估方法與應用
書刊名:風險管理學報
作者:張士傑 引用關係田嘉蓉陳奕求
作者(外文):Chang, Shih-chiehTien, Chia-jungChen, Yi-chiu
出版日期:2003
卷期:5:1
頁次:頁25-43
主題關鍵詞:保證鐵達尼選擇權評價均變異數避險內在風險GuaranteesTitanic optionValuationMean-variance minimization criterionIntrinsic risk
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:5
  • 點閱點閱:19
期刊論文
1.Schäl, M.(1994)。On Quadratic Cost Criteria for Option Hedging。Mathematics of Operations Research,19(1),121-131。  new window
2.Gentle, D.(1993)。Basket Weaving。Risk,6(6),51-52。  new window
3.Bacinello, A. R.、Ortu, F.(1993)。Pricing Equity-linked Life Insurance with Endogenous Minimum Guarantees。Insurance: Mathematics and Economics,12(3),245-257。  new window
4.Boyle, P. P.、Schwartz, E. S.(1997)。Equilibrium Prices of Guarantees under Equity-linked Contracts。Journal of Risk and Insurance,44,639-680。  new window
5.Milevsky, Moshe A.、Posner, Steven E.(2001)。The Titanic Option: Valuation of The Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds。Journal of Risk and Insurance,68(1),93-128。  new window
6.Møller, T.(1998)。Risk-minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts。ASTIN Bulletin,28,17-47。  new window
7.Nonnenmacher, D. J. F.、Rub, J.(1999)。Arithmetic Averaging Equity-linked Life Insurance Policies in Germany。Insurance: Mathematics and Economics,25,23-35。  new window
8.Schweizer, M.(1992)。Mean-variance Hedging for General Claims。The Annals of Applied Probability,2(1),171-179。  new window
9.Schweizer, M.(1994)。Risk Minimizing Hedging Strategies under Restricted Information。Mathematical Finance,4,327-342。  new window
10.Windcliff, H.、Forsyth, P. A.、Vetzal, K. R.(2001)。Valuation of Segregated Funds: Shout Options with Maturity Extensions。Insurance: Mathematics and Economics,29,1-21。  new window
11.陳松男、鄭翔尹(20000100)。組合型權證的正確評價及避險方法。證券市場發展,11(4)=44,1-21。new window  延伸查詢new window
12.Aase, K. K.、Persson, S. A.(1994)。Pricing of Unit-Linked Life Insurance Policies。Scandinavia Actuarial Journal,1,26-52。  new window
13.Armstrong, M. J.(2001)。The Reset Decision for Segregated Fund Maturity Guarantees。Insurance: Mathematics and Economics,29,257-269。  new window
14.Brennan, M. J.、Schwartz, E. S.(1976)。The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee。Journal of Financial Economics,3,195-213。  new window
15.Brennan, Michael J.、Schwartz, Eduardo S.(1979)。Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee。Journal of Business,52,63-93。  new window
16.Ekern, S.、Persson, S. A.(1996)。Exotic Unit-linked Life Insurance Contracts。The Geneva Papers on Risk and Insurance Theory,21,35-63。  new window
17.Hardy, M. R.(2000)。Hedging and Reserving for Single-Premium Segregated Fund Contracts。North American Actuarial Journal,4(2),63-74。  new window
18.Møller, T.(2001)。Hedging Equity-Linked Life Insurance Contracts。North American Actuarial Journal,5(2),79-95。  new window
19.Nielsen, J. A.、Sandmann, K.(1995)。Equity-linked Life insurance: A Model with Stochastic Interest Rates。Insurance: Mathematics and Economics,16,225-253。  new window
20.Nielsen, J. A.、Sandmann, K.(1996)。Uniqueness of the Fair Premium for Equity-linked Life Insurance Contracts。The Geneva Papers on Risk and Insurance Theory,21,65-102。  new window
21.Schweizer, M.(199104)。Option Hedging for Semi-martingales。Stochastic Processes and Their Applications,37(2),339-363。  new window
22.Schweizer, M.(1995)。Variance-optimal Hedging in Discrete Time。Mathematics of Operations Research,20,1-32。  new window
23.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
學位論文
1.Møller, T.(2000)。Quadratic Hedging Approaches and Indifference Pricing in Insurance(博士論文)。  new window
圖書
1.Duffie, D.(1996)。Dynamic Asset Pricing Theory。Princeton, New Jersey:Princeton University Press。  new window
圖書論文
1.Bacinello, A. R.、Ortu, F.(1993)。Pricing Guaranteed Securities-linked Life Insurance under Interest Rate Risk。Actuarial Approach for Financial Risks。  new window
2.Foellmer, H.、Sondermann, D.(1986)。Hedging of Non-redundant Contingent Claims。Contributions to Mathematical Economics。  new window
3.Bacinello, A. R.、Ortu, F.(1994)。Single and Periodic Premiums for Guaranteed Equity-linked Life Insurance under Interest Rate Risk: the Log-Normal + Vasicek Case。Financial Modeling。Heidelberg:Physica-Verlag。  new window
 
 
 
 
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