ART
Bodo H., Paetzmann K. (1999) – Alternativer Risiko-Transfer: Die neue Welt der Industrieversicherung, Gerling-Akademie-Verlag, 1999
Eickstädt J. (2001) – Alternative Risiko-, Finanzierungsinstrumente, Gehrling Akademie Verlag, 2001
Finance
Cox J.C., Ross S., Rubinstein M. (1979) – Option Pricing: A Simplified Approach, Journal of Financial Economics (7), 1979
Fabozzi F.J. (1996) – Bond Markets, Analysis and Strategies, Prentice Hall, Upper Saddle River, 1996
Fabozzi F.J. (2001) – Accessing Capital Markets through Securitization, FJF Associates, 2001
Fama E.F. (1970) – Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance (25), 1970
Frost P. (1998) – Versicherungsderivate und Securitization von Versicherungsrisiken, Haupt-Verlag, 1998
Goldberg J. und Nitzsch R. (1999) – Behavioral Finance, Finanzbuch Verlag, München, 1999
Hull J.C. (1989) – Option, Future and Other Derivative Securities, Prentice-Hall Inc., 1993
Ingersoll J.E. (1987) – Theory of Financial Decision Making, Rowman & Littlefield, Savage, 1987
Jarrow R.A., Battig R.J. (1999) – The Second Fundamental Theorem of Asset Pricing: A New Approach, The Review of Financial Studies (12), 1999
Latham M. (1985) – Defining Capital Market Efficiency, University of California, 1985
Merton R.C. (1975) – Option Pricing – When Underlying Stock Returns are Discontinuous, Massachusetts Institute of Technology, Cambridge, 1975
Merton R.C., Bodie Z. (1995) – A Conceptual Framework for Analysing the Financial Environment, The Global Financial System – A Functional Perspective, HBS Press, 1995
Mildenhall S.J. (1997) – Application of the Option Market Paradigm to the Solution of Insurance Problems, 1997
Milevsky M.A., Promislow S.D. (2001) – Mortality Derivatives and the Option, 2001
Pratt J.W. (1964) – Risk Aversion in the Small and in the Large, Econometria (32), 1964
Schiller R.J. (1997) – Human Behavior and the Efficiency of the Financial System, Preprint, 1997
Sengupta und Sfeir (1994) – Market Volatility and Skewness Persistence, Applied Economics Letters, 1994
Sharpe W.F. (1964) – Capital Asset Prices: A Theory of Market Equilibrium under Condition of Risk, The Journal of Finance (19), 1964
Spremann K. (2000) – Portfolio Management, Oldenburg Verlag, 2000
Tobin J. (1958) – Liquidity Preference as a Behavior toward Risk, Review of Economic Studies, 1958
Wacek M.G. (1997) – Application of the Option Market Paradigm to Solutions of Insurance Problems, Proceedings of the Casuality Actuarial Society, 1997
Lebensversicherung
Koller M. (1998a) – Reservierungspolitik von Pensionskassen und die Altersrentenproblematik, 1998a
Koller M. (1998b) – Methodik zur Konstruktion von Generationentafeln, Swiss Life, 1998b
Koller M. (2000) – Stochastische Modelle in der Lebensversicherung, Springer Verlag, 2000
Nolfi P. (1959) – Die Berücksichtigung der Sterblichkeitsverbesserung in der Rentenversicherung nach der Optimal-Methode der Spieltheorie, MVSVM, 1959
Regulierung-Solvenz
Basler Ausschuss für Bankenaufsicht (1995) – Behandlung des potentiellen Engagements aus nicht bilanzwirksamen Positionen, 1995
Basler Ausschuss für Bankenaufsicht (1996a) – Aufsichtsrechtliches Rahmenkonzept für Backtesting (Rückvergleiche) bei der Berechnung des Eigenkapitalbedarfs zur Unterlegung des Marktrisikos mit bankeigenen Modellen, 1996
Basler Ausschuss für Bankenaufsicht (1996b) – Überblick über die Änderung der Eigenkapitalvereinbarung zur Einbeziehung der Marktrisiken, 1996
Bundesamt für Privatversicherung (2004) – Schweizer Solvenz-Test, White Paper (2004)
Bundesamt für Privatversicherung (2003) – Schweizer Solvenz-Test (2003)
Bundesamt für Privatversicherung (BPV), Ressort Leben (2003) – Sterblichkeit und Lebenserwartung, insbesondere mit Blick auf die überobligatorische berufliche Vorsorge
Finma (2008) – Rundschreiben SST, Quantitatives Risiko Management (2008)
Risikoprämie-Prämienprinzipien
Behrens H.G. (1995) – Ausgleichsverfahren, Schriftenreihe Angewandte Versicherungsmathematik (15), 1995
Bühlmann H. (1980) – An Economic Premium Principle, Astin Bulletin (11), 1980
Bühlmann H. (1984) – The General Economic Premium Principle, Astin Bulletin (14), 1984
Bühlmann H. (1985) – Premium Calculation from Top Down, Astin Bulletin (15), 1985
Goovaerts M.J., De Vylder F., Haezendonck J. (1984) – Insurance Premiums, North-Holland, Amsterdam, 1984
Müller H. (1998) – Economic Premium Principles in Insurance and the Capital Asset Pricing Model, Universität Zürich, 1998
Venter G. (1991) – Premium Calculation of Reinsurance without Arbitrage, Astin Bulletin (21), 1991
Wang S.S. (1996) – Premium Calculation by Transforming the Layer Premium Density, International Actuarial Association, Astin Bulletin (26), 1996
Wang S.S., Young V.R., Panjer H.H. (1997) – Axiomatic Characterisation of Insurance Prices. Insurance: Mathematics and Economics (21), 1997
Young V. (2004) – Premium Principle, Wiley Encylopedia of Actuarial Science, 2004
Risikobewertung
Artzner P., Delbaen F., Eber J.-M. and D. Heath (1999) – Coherent Measures of Risk. Math. Finance (9), 1999
Cairns J.G., Blake D., Dowd K. (2004a) – Pricing Framework for Securitization of Mortality Risk, Heriott-Watt University, 2004a
Cairns J.G., Blake D., Dowd K. (2004b) – Pricing Death: Framework for the Valuation and Securitization of Mortality Risk, Heriott-Watt University, 2004b
Cairns J.G., Blake D., Dowd K. (2005a) – Pricing the Risk on Longevity-Bond, Heriott-Watt University, 2005
Cummins J.D., Geman H. (1995) – Pricing Catastrophe Insurance Future and Call Spreads: An Arbitrage Approach, The Journal of Fixed Income, 1995
Embrechts P. (2000) – Actuarial Versus Financial Pricing of Insurance, Risk Finance (4), 2000
Embrechts P., McNeil J. und Frey R. (2005) – Quantitative Risk Management, Princeton Series in Finance, New Jersey, 2005
Gerber H.U. (1980) – An Introduction to Mathematical Risk Theory, Huebner Foundation Monograph (8), 1980
Gerber H.U. (1997) – Life Insurance Mathematics, Springer Verlag, 1997
Gerber H.U., Pafumi G. (1998) – Utility Functions: From Risk Theory to Finance, 1998
Gerber H.U., Shiu E. (1998) – An Actuarial Bridge to Option Pricing, 1995
Karten W. (1993) – Das Einzelrisiko und seine Kalkulation», in: Asmur W. et al. (Hrsg.), Studientext (12), Band 2, Gabler Verlag, 1993
Jorion P. (2001) – Value at Risk, McGraw-Hill, New York, 2001
Moix P. (2000) – The Measurement of Market Risk, Dissertation Nr. 2358, Universität St. Gallen, 2000
Persson S.A. (1994) – Pricing Life Insurance Contracts under Financial Uncertainty, PhD Thesis, Norwegian School of Economics and Business Administration Bergen, 1994
Stahl G. (1997) – Three Cheers, Risk (10), 1997
Wang S.S. (2001) – A Risk Measure that Goes Beyond Coeherence, SCOR Reinsurance Co., 2001
Wang S.S. (2002) – A Universal Framework for Pricing Financial and Insurance-Risk, Astin Bulletin (32), 2002
Wang S.S. (2003) – Equilibrium Pricing Transformation: New Results of Bühlmanns 1980 Economic Modell, Astin Bulletin (33), 2003
Zimmermann H. (1999) – Value at Risk – ein zweifelhaftes Paradigma, Manager Bilanz, 1999
Risikoerfassung-Sterblichkeit-Langleberisiko
Bertschi L (2014) – Mehrwert eines stochastischen Sterblichkeitsmodells für die Schweiz, Towers Watson, Zürich 2014
Booth, Hyndmaman, Tickle und Jong (2006) – Lee-Carter Mortality Forecasting: A Multi-Country Comparison of Variants and Extensions, Demographic Research (15), 2006
Buettner T. (2002) – Approaches and Experiences in Projecting Mortality Patterns for the Oldest Old, International Symposium «Living to 100 and Beyond: Survival at Advanced Ages», 2002
Cairns J.G., Blake D., Dowd K. (2005b) – A Two-Factor Modell for Stochastic Mortality with Parameter Uncertainty, Heriott-Watt University, 2005
Cairns J.G., Blake D., Dowd K. (2007) – A quantitative comparison of stochastic mortality models using data from England & Wales and the United States, working Paper Life Metrics JPM, 2008
Cairns J.G., Blake D., Dowd K. (2008a) – Mortality Density Forecasts: An Analysis of Six Stochastic Mortality Models, wor-king Paper Life Metrics JPM, 2008
Cairns J.G., Blake D., Dowd K. (2008b) – Evaluating the Goodness of Fit of Stochastic Mortality Models, working Paper Life Metrics JPM, 2008
Chen H. and Cox S. H. (2006) – Modeling mortality with jumps: transitory effects and pricing implication to mortality securitization, Georgia State University, 2006
Currie I.D., Durban, M., Eilers, P.H.C. (2004) – Smoothing and Forecasting Mortality Rates, Working Paper, Heriot-Watt University, 2004
Lee, P. J. (2000a) – A General Framework for Stochastic Investigations of Mortality and Investment Risks, Heriot-Watt University, March 2000.
Lee R.D. (2000a) – The Lee-Carter Method for Forecasting Mortality, with Various Extensions and Applications, North American Actuarial Journal 4 (1), 2000
Lee R.D. (2000b) – Long-Term Projections and the US Social Security System, Population and Development Review (26), 2000
McNown R. and Rogers A. (1989) – Forecasting Mortality: A Parameterized Time Series Approach. Demography 26 (4), 1989
Ramsay C.M. (1993) – A Note on Random Survivorship Group Benefit, Astin Bulletin (23), 1993
Ramsay C.M. (1994) – On an Integral Equation for Discounted Compound – Annuity Distributions, 1994
Renshaw A.E. und Haberman S. (2003) – Lee-Carter Mortality Forecasting with Age-Specific Enhancement, Insurance: Mathematics and Economics (33), 2003
Rogers A. (1986b) – Parameterized Multistate Population Dynamics and Projections Journal of the American Statistical Association (81), 1986
Rogers R. (2002) – Will mortality improvements continue? National Underwriter (106), 2002.
Risikotranschierung
De Marzo (2005) – The Pooling and Tranching of Securities: A Model of Informed Intermediation, The Review of Financial Studies (18), 2005
Risikoverbriefung
Anders S. (1999) – Einsatz von Katastrophen-Indizes als Schadenbasis bei der Risk-Securitization, in: VW (54), 1999
Bär H.P. (1997) – Asset Securitization, Die Verbriefung von Finanzaktiven als innovative Finanzierungstechnik und neue Herausforderung für Banken, Haupt-Verlag, 1997
Cox S.H., Samuel H., Fairchild H., Pedersen W. (2000) – Economic Aspects of Securitization of Risk, Astin Bulletin (30), 2000
Cox S.H., Yijia Lin (2004) – Securitization of Mortality Risk in Life Annuity, 2004
Cummins J.D. (2004) – Securitization of Life Insurance Assets and Liabilities, Warton, 2004
Diamond und Dybvig (1984) – Financial Intermediation and Delegated Monitoring, Review of Economic Studies (51), 1984
Everling O. (1993) – Die Bedeutung des Rating für die Verbriefung von Forderungen, in: Börsen-Zeitung: Unterlagen zum Seminar: Securitization – Rechtliche, steuerliche und banktechnische Aspekte der Verbriefung von Forderungen, Frankfurt, 1993
Gordon und Pennachi (1990) – Financial Intermediation and Liquidity Creation, Journal of Finance (45), 1990
Hasenkamp U. (2000) – Finanzinnovationen im Versicherungskontext: Securitization und börsengehandelte Derivate, VVW Karlsruhe, 2000
Hastenpflug W. (1990) – Das Securitization-Phänomen, Wiesbaden, 1990
Heri E.W., Frost P. (1998) – Versicherungsrisiken an den Finanzmärkten. Die erste kotierte CAT-Anleihe», in: Hehn, Elisabeth (Hrsg.), Asset Management, 1998
König M. (1997) – Der Anleger als Rückversicherer, Versicherungsrecht (48), 1997
Kroll M. (1993) – Securitization – Arbitrage in der Unternehmensfinanzierung, Der Schweizer Treuhänder (10), 1993
Lane M., Beckwith R. (2000) – Trends in the Insurance-Linked Securities Market, Trade Notes, Lane Financial (May), 2000
Manson S.P. (1995) – The Allocation of Risk in The Global Financial System – A Functional Perspective, HBS Press, 1995
Müller E. (1997) – Securitization – Quo Vadis, ZfV (48), 1997
Sanders A.J. (2000) – Securitization and other Financing Options Available to Life Companies, Institute of Actuaries and Faculty of Actuaries, 2000
SwissRe (2003) – Principal At-Risk Variable Rate Notes, 2003
Wagner F. (1997)- Risk Securitization als alternatives Mittel des Risikotransfers von Versicherungsunternehmen, ZVersWiss (89), 1997
Yang S. (2001) – Reserving, Pricing and Hedging for Guaranteed Annuity Options, PhD Thesis, Heriot-Watt University, Edinburgh, 2001
Wahrscheinlichkeitsrechnung
Aase K. K. (2001) – A Markov Model for the Pricing of Catastrophe Insurance Future and Spreads, The Journal of Risk and Insurance 68: S. 25–49, 2001
Bernoulli D. (2004) – Die Werke von Daniel Bernoulli 8, Birkhäuser Verlag AG, 2004
Bohley P. (1987) – Statistik, R. Oldenburg Verlag GmbH, 1987
Bowers N., Gerber H.U., Hickman J., Jones D. and Nesbitt C. (1986) – Actuarial Mathematics, Society of Actuaries, 1986
Bühlmann H. (1970) – Mathematical Methods in Risk Theory, Springer Verlag, 1970 (2. Auflage, 1996)
Bühlmann H., Delbaen F., Embrechts P., Shiraev A.N. (1998) – On Esscher Transforms in Discrete Finance Models, Astin Bulletin (28), 1998
Durrett (1996) – Probability Theory and Examples. Duxbury Press, Belmont, 1996
Franke J., Härdle W., Hafner C. (2001) – Einführung in die Statistik der Finanzmärkte, Springer Verlag, 2001
Gottwald S., Kästner H., Rudolph H. (1995) – Meyers kleine Enzyklopädie der Mathematik, München, 1995
Jarrow R.A. (1999) – A Partial Differential Equation that Changed the World, The Journal of Economic Perspectives (13), 1999
Neftci S.N. (2000) – An Introduction to the Mathematics of Financial Derivatives, Academic Press 2, 2000
Plachky D. (2001) – Mathematische Grundbegriffe und Grundsätze der Stochastik, Springer Verlag, 2001
Pliska S.R. (1997) – Introduction to Mathematical Finance, Blackwell Publishing, 1997
Protter Ph.E. (2004) – Stochastic Integration and Differential Equations, Springer Verlag, 2004
Sachs L. (1992) – Angewandte Statistik, Springer Verlag, 7. Auflage, 1992
Schmidt K. (2002) – Versicherungsmathematik, Springer Verlag, Berlin, 2002
Waldmann K.H., Stocker U.M. (2003) – Stochastische Modelle, Springer Verlag, 2003
Williams D. (1991) – Probability with Martingales, Cambridge University Press, 1991
Volkswirtschaftwirtschaft
Ackermann G., Artho G. (2001) – Entwicklungstendenzen deregulierter Versicherungsmärkte, Die Volkswirtschaft 10, 2001
EDI, Eidgenössisches Departement des Innern (2001) – Bericht EDI, Sozialversicherung Schweiz, Handlungsbedarf und Optionen für die Zukunft, 2001
Freifelder, L.R. (1976) – A Decision Theoretic Approach to Insurance Ratemaking, The S.S. Huebner Foundation, Philadelphia, PA, Homewood II, 1976
Hasenkamp U. (1998) – Insurance Risk & Capital Markets: Insurance-Linked Bonds, Vortragsmanuskript, Köln 8, 1998
Heilmann W. R. (1987) – Grundbegriffe der Risikotheorie, Verlag Versicherungswirtschaft, 1987
Kreps D. M. (1988) – Notes on the Theory of Choice, Westview Press, Boulder, 1988
Leland und Pyle (1977) – Information Asymmetries, Financial Structure and Financial Intermediaries (55), 1977
Mas-Colell A., Whinston M. D., Green J. R (1995) – Microeconomic Theory, Oxford University Press, New York, 1995
Sassnick F. (1989) – Armenpolitik zwischen Helfen und Strafen. Das Problem der Armut in Winterthur vom Ancien Régime zum 19. Jahrhundert, Winterthur, 1989
Schweizerische Kammer der Pensionskassen-Experten (2005) – Stellungnahme zum technischen Zinssatz, 2005
Schweizerischer Versicherungsverband (2005) – Zahlen und Fakten 2005
Winton (2001) – Institutional Liquidity Needs and Structure of Monitored Finance, Review of Financial Studies (16), 2001
Yaari M.E. (1987) – The Dual Theory of Choice under Risk, Econometrica (55), 1987
Zweifel P., Eisen R. (2000) – Versicherungsökonomie, Springer Verlag, Berlin, 2000