Follow
Daniel Bauer
Title
Cited by
Cited by
Year
A universal pricing framework for guaranteed minimum benefits in variable annuities
D Bauer, A Kling, J Russ
ASTIN Bulletin-Actuarial Studies in Non Life Insurance 38 (2), 621, 2008
3892008
On the pricing of longevity-linked securities
D Bauer, M Börger, J Ruß
Insurance: Mathematics and Economics 46 (1), 139-149, 2010
226*2010
Risk-neutral valuation of participating life insurance contracts
D Bauer, R Kiesel, A Kling, J Ruß
Insurance: Mathematics and Economics 39 (2), 171-183, 2006
1312006
On the calculation of the solvency capital requirement based on nested simulations
D Bauer, A Reuss, D Singer
Astin Bulletin 42 (02), 453-499, 2012
1132012
Modeling the forward surface of mortality
D Bauer, FE Benth, R Kiesel
SIAM Journal on Financial Mathematics 3 (1), 639-666, 2012
82*2012
Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment
K Zaglauer, D Bauer
Insurance: Mathematics and Economics 43 (1), 29-40, 2008
822008
Solvency II and nested simulations–a least-squares Monte Carlo approach
D Bauer, D Bergmann, A Reuss
Proceedings of the 2010 ICA congress, 2010
812010
The risk of a mortality catastrophe
D Bauer, F Kramer
Journal of Business & Economic Statistics 34 (3), 391-405, 2016
80*2016
Revisiting the risk-neutral approach to optimal policyholder behavior: A study of withdrawal guarantees in variable annuities
T Moenig, D Bauer
Review of Finance 20 (2), 759-794, 2016
76*2016
The Volatility of Mortality
D Bauer, M Börger, J Ruß, HJ Zwiesler
Asia-Pacific Journal of Risk and Insurance 3, 2008
762008
The marginal cost of risk, risk measures, and capital allocation
D Bauer, G Zanjani
Management Science 62 (5), 1431-1457, 2016
592016
Policyholder exercise behavior in life insurance: The state of affairs
D Bauer, J Gao, T Moenig, ER Ulm, N Zhu
North American Actuarial Journal 21 (4), 485-501, 2017
512017
On the risk-neutral valuation of life insurance contracts with numerical methods in view
D BAUER, D Bergmann, R Kiesel
ASTIN Bulletin-Actuarial Studies in non LifeInsurance 40 (1), 65, 2010
492010
Asset-liability management for long-term insurance business
H Albrecher, D Bauer, P Embrechts, D Filipović, P Koch-Medina, R Korn, ...
European Actuarial Journal 8, 9-25, 2018
432018
A cautionary note on natural hedging of longevity risk
N Zhu, D Bauer
North American Actuarial Journal 18 (1), 104-115, 2014
402014
Applications of forward mortality factor models in life insurance practice
N Zhu, D Bauer
The Geneva Papers on Risk and Insurance-Issues and Practice 36, 567-594, 2011
392011
Assessing investment and longevity risks within immediate annuities
D Bauer, F Weber
Asia-Pacific Journal of Risk and Insurance 3 (1), 2008
382008
A least-squares Monte Carlo approach to the estimation of enterprise risk
H Ha, D Bauer
Finance and Stochastics 26 (3), 417-459, 2022
35*2022
Capital allocation and its discontents
D Bauer, GH Zanjani
Handbook of insurance, 863-880, 2013
332013
Coherent pricing of life settlements under asymmetric information
N Zhu, D Bauer
Journal of Risk and Insurance 80 (3), 827-851, 2013
302013
The system can't perform the operation now. Try again later.
Articles 1–20