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Publications by Katja Schilling

Risk Analysis of Annuity Conversion Options in a Stochastic Mortality Environment

English

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Refundable Annuities (Annuity Options)

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Annuity Valuation With Dependent Mortality

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Valuation of Guaranteed Annuity Options in Affine Term Structure Models

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A Study of Impact of Stochastic Volatility on Variable Annuity Pricing

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Consumption-Investment Problems With Stochastic Mortality Risk

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Optimal Annuity Portfolio Under Inflation Risk

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Stochastic Skew in Currency Options☆

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Are Real Options "Real"? Isolating Uncertainty From Risk in Real Options Analysis

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A Stochastic Approach to the Valuation of Barrier Options in Heston’s Stochastic Volatility Model

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