References

RISK MANAGEMENT AND ALM: A THEORETICAL MODEL AND FOUR OPTION STRATEGIES


[1] A. Albrecht, Auf dem Weg zu einem holistischen Risikomanagement? Versicherungswirtschaft 19 (1999), 1404-1409.

[2] F. Black, Capital market equilibrium with restricted borrowing, Journal of Business (1972), 445-455.

[3] K. Borch, Additive insurance premiums: A note, The Journal of Finance 11295-98. Reprinted in Borch (1990) (1982), 192-197.

[4] K. H. Borch, Economics of Insurance, Advanced Textbooks in Economics 29, North-Holland, 1990.

[5] H. Bühlmann, An economic premium principle, ASTIN Bulletin 11 (1980), 52-60.

[6] H. Bühlmann, The general economic premium principle, ASTIN Bulletin 14 (1984), 13-21.

[7] H. Bühlmann, Life Insurance with Stochastic Interest Rates, In: G. Ottaviani (Ed.), Financial Risk in Insurance, Springer-Verlag, 1995.

[8] W. Hürlimann, Stochastic tariffing in life insurance, Proc. Int. Colloquium Life, disability and pensions: Tomorrow’s challenge, Paris, 3, 203-12. Tarification stochastique en assurance-vie, French translation, same 3 (1991a), 81-90.

[9] W. Hürlimann, Absicherung des Anlagerisikos, Diskontierung der Passiven und Portfoliotheorie, Bulletin Swiss Assoc. Actuaries (1991b), 217-250.

[10] W. Hürlimann, Splitting risk and premium calculation, Bulletin Swiss Assoc. Actuaries (1994), 167-97.

[11] W. Hürlimann, Mean-variance portfolio selection under portfolio insurance, Proceedings of the 6-th International AFIR-Colloquium, Verlag Versicherungswirtschaft, Karlsruhe 1 (1996), 347-374.

[12] W. Hürlimann, An elementary unified approach to loss variance bounds, Bulletin Swiss Assoc. Actuaries (1997a), 73-88.

[13] W. Hürlimann, Fonctions extrémales et gain financier, Elemente der Mathematik 52 (1997b), 152-168.

[14] W. Hürlimann, Bounds for expected positive differences by means of Hoeffding-Fréchet extremal distributions, Proc. 28th Int. ASTIN Colloquium, Cairns, Australia, (1997c).

[15] W. Hürlimann, Distribution-free excess-of-loss reserves for some actuarial protection models, Trans. 26th Int. Congress of Actuaries, Birmingham 4 (1998), 291-317.

[16] W. Hürlimann, Non-optimality of a linear combination of proportional and non-proportional reinsurance, Insurance Math. Econom. 24(3) (1999), 219-227.

[17] W. Hürlimann, On the accumulated aggregate surplus of a life portfolio, Insurance Math. Econom. 30(1) (2002), 27-35.

[18] W. Hürlimann, Normal variance-mean mixtures (III) Option pricing through state- price deflators, J. Math. Sci.: Adv. and Appl. 25(1) (2014), 13-41.

[19] J. Lintner, The valuation of risky assets and the selection of risky investments in stock portfolios and capital budgets, Review of Economics and Statistics 47 (1965), 13-27.

[20] D. L. Luskin, (Editor), Portfolio Insurance: A Guide to Dynamic Hedging, J. Wiley, New York, 1988.

[21] W. Margrabe, The value of an option to exchange one asset for another, Journal of Finance 33 (1978), 177-186.

[22] R. C. Merton, Continuous-time Finance, Basil Blackwell, 1990.

[23] W. F. Sharpe, A simplified model for portfolio analysis, Management Science 9 (1963), 277-293.