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The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation

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  • Berketi, Alexandra K.
  • Macdonald, Angus S.

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  • Berketi, Alexandra K. & Macdonald, Angus S., 1999. "The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation," Insurance: Mathematics and Economics, Elsevier, vol. 24(1-2), pages 117-138, March.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:1-2:p:117-138
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    References listed on IDEAS

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    1. Wilkie, A.D., 1995. "More on a Stochastic Asset Model for Actuarial Use," British Actuarial Journal, Cambridge University Press, vol. 1(5), pages 777-964, December.
    2. Needleman, P.D. & Roff, T.A., 1995. "Asset Shares and their Use in the Financial Management of a With-Profits Fund," British Actuarial Journal, Cambridge University Press, vol. 1(4), pages 603-688, October.
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    Cited by:

    1. Gatzert, Nadine, 2008. "Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 839-849, April.
    2. Berketi, Alexandra K., 1999. "Insolvency risk and its impact on the policyholders' investment choices: a mean-variance approach for participating life insurance business in UK," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 349-372, December.

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