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1

Møller, Thomas. "Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts." ASTIN Bulletin 28, no. 1 (1998): 17–47. http://dx.doi.org/10.2143/ast.28.1.519077.

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AbstractA unit-linked life insurance contract is a contract where the insurance benefits depend on the price of some specific traded stocks. We consider a model describing the uncertainty of the financial market and a portfolio of insured individuals simultaneously. Due to incompleteness the insurance claims cannot be hedged completely by trading stocks and bonds only, leaving some risk to the insurer. The theory of risk-minimization is briefly reviewed and applied after a change of measure. Risk-minimizing trading strategies and the associated intrinsic risk processes are determined for diffe
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2

Møller, Thomas. "Hedging Equity-Linked Life Insurance Contracts." North American Actuarial Journal 5, no. 2 (2001): 79–95. http://dx.doi.org/10.1080/10920277.2001.10595986.

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3

Klusik, Przemysław, and Zbigniew Palmowski. "Quantile hedging for equity-linked contracts." Insurance: Mathematics and Economics 48, no. 2 (2011): 280–86. http://dx.doi.org/10.1016/j.insmatheco.2010.12.002.

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4

Ekern, Steinar, and Svein-Arne Persson. "Exotic Unit-Linked Life Insurance Contracts." Geneva Papers on Risk and Insurance Theory 21, no. 1 (1996): 35–63. http://dx.doi.org/10.1007/bf00949050.

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5

Atmeh, Muhannad Ahmed, and Bassam Maali. "An accounting perspective on the use of combined contracts and donations in Islamic financial transactions." Journal of Islamic Accounting and Business Research 8, no. 1 (2017): 54–69. http://dx.doi.org/10.1108/jiabr-07-2014-0024.

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Purpose The purpose of this paper is to investigate the techniques used by Islamic financial institutions (IFIs) to shift conventional instruments to Shariah-compliant instruments. The paper additionally aims to explore the effect of these techniques on financial reporting. Design/methodology/approach The study recognized two techniques used by the IFI: the combination of contracts which compartmentalizes the economic transaction into a series of linked sub-transactions, and the inclusion of donation (Tabarru) in commercial contracts. The paper also reviews the accounting treatment according t
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6

Ahroum, Rida, Othmane Touri, and Boujemâa Achchab. "Murabaha and Musharakah Moutanaquissah pricing: an interest-free approach." Journal of Islamic Accounting and Business Research 11, no. 1 (2020): 201–15. http://dx.doi.org/10.1108/jiabr-12-2016-0147.

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Purpose This study aims to provide an interest-free valuation methodology for Murabaha and Musharakah Moutanaquissah contracts. Indeed, In Islamic finance, Murabaha contracts are widely negotiated. Their yield depends mainly on the contracted profit margin. In the current practices, this latter is based on a reference interest rate, which is highly criticized in Islamic literature, just like Musharakah Moutanaquissah contracts. In this perspective, authors suggest a new valuation methodology with parameters related to the real economy. Design/methodology/approach The authors apply an indirect
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7

Török, Éva. "A gazdasági, műszaki fejlődés hatása a szerződések jogára." Jelenkori Társadalmi és Gazdasági Folyamatok 7, no. 1-2 (2012): 80–87. http://dx.doi.org/10.14232/jtgf.2012.1-2.80-87.

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In this communication, the effects of the economical, moreover the technical growth on the contract law is presented comprehensively. The traditional framework of the civil law contracts has been broken by the development and phenomena of market economy in our country. Furthermore the legal milieu has to go by the changed demands of the economic operators. As results of the business-like management, the large investments as well as the cross-border transactions formed more and more novel, the so-called atypical contracts in the Hungarian law. New contracting methods are linked with the technol
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Nu'man, Mohamad Hilal. "Penerapan Prinsip Syariah Pada Akad Musyarakah Mutanaqishah Di Bank Syariah Dalam Bentuk Akta Notaris Yang Mengandung Klausula Eksonerasi." Bayani 1, no. 2 (2021): 106–28. http://dx.doi.org/10.52496/bayaniv.1i.2pp106-128.

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The clauses contained in the sharia financing contract deed are clauses that have become the standard form in making the sharia financing contract deed. In making contracts in Islamic banking, in general, a standard format applies where a draft has been prepared by the bank. Almost all contracts, including muasyarakah mutanaqishah financing contracts, then the format or draft becomes the basis for making a musyarakah mutanaqishah financing contract deed made by a notary, for this reason it is necessary to study and analyze the standard clauses in the muasyarakah mutanaqishah financing contract
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9

Nečaský, Martin, Jakub Klímek, Jindřich Mynarz, Tomáš Knap, Vojtěch Svátek, and Jakub Stárka. "Linked data support for filing public contracts." Computers in Industry 65, no. 5 (2014): 862–77. http://dx.doi.org/10.1016/j.compind.2013.12.006.

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10

Marta Anna Szwarczyńska. "Withdrawal from a contract for insurance coverage concluded remotely." Forum Prawnicze 2, no. 52 (2019): 29–45. http://dx.doi.org/10.32082/fp.v2i52.184.

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The multi-stakeholder nature of group insurance contracts triggers various types of connections between the actors in this legal relationship. This is best illustrated by the contract for insurance coverage, which is a separate agreement transacted between the insured and policyholder, but intrinsically linked with group insurance. The aim of this article is to discuss the selected aspects of contracts for insurance coverage. Particular emphasis is put on the insured's right to withdraw from the contract if it was concluded by means of distance communication. The considerations in this respect
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11

Josephy, Norman, Lucia Kimball, and Victoria Steblovskaya. "Optimal Hedging and Pricing of Equity-Linked Life Insurance Contracts in a Discrete-Time Incomplete Market." Journal of Probability and Statistics 2011 (2011): 1–23. http://dx.doi.org/10.1155/2011/850727.

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We present a method of optimal hedging and pricing of equity-linked life insurance products in an incomplete discrete-time financial market. A pure endowment life insurance contract with guarantee is used as an example. The financial market incompleteness is caused by the assumption that the underlying risky asset price ratios are distributed in a compact interval, generalizing the assumptions of multinomial incomplete market models. For a range of initial hedging capitals for the embedded financial option, we numerically solve an optimal hedging problem and determine a risk-return profile of
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12

Silva, Marta, Luis Filipe Martins, and Helena Lopes. "Asymmetric Labor Market Reforms: Effects on Wage Growth and Conversion Probability of Fixed-Term Contracts." ILR Review 71, no. 3 (2017): 760–88. http://dx.doi.org/10.1177/0019793917737506.

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The authors investigate the impact of a change in employment protection laws in Portugal that increased the maximum legal duration of fixed-term contracts. They find that this reform led to a reduction in the probability that a worker on a fixed-term contract would be converted to a permanent contract. In addition, those workers who had their contracts converted experienced a significantly higher hourly wage growth at the time of conversion and faced a lower reduction in wage growth during the years in which the changed legislation was in force. Consequently, the implementation of this law led
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13

Llavona, Covadonga Díaz. "No more Doubts about the Nature of Unit-Linked Products." European Journal of Risk Regulation 3, no. 4 (2012): 621–24. http://dx.doi.org/10.1017/s1867299x00002555.

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Judgment of the Court (fifth Chamber) of 1 March 2012 (reference for preliminary ruling), Case C—166/11: Ángel Lorenzo González Alonso v Nationale Nederlanden Vida Cía. de Seguros y Reaseguros, S.A.E. (Spain)**A contract concluded away from business premises, under which life assurance is offered in return for payment of a monthly premium to be invested, in varying proportions, in fixed-rate investments, variable-rate investments and financial investment products of the company offering the contract, falls outside the scope of Council Directive 85/577/ EEC of 20 December 1985, to protect the c
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Liem, Nguyen Thanh, Nguyen Vinh Khuong, and Nguyen Thi Canh. "Buyer–Supplier Contract Length and the Innovation of Supplier Firms." Journal of Open Innovation: Technology, Market, and Complexity 6, no. 3 (2020): 52. http://dx.doi.org/10.3390/joitmc6030052.

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The relationship with customers has important implications for operating decisions as well as firm performance. One important aspect of the supplier–buyer relationship is the contract duration, and how this factor is likely to affect firm investments has been under-researched. This study aims to investigate whether corporate innovation is linked to the maturity of contracts between suppliers and buyers. Using a sample of 1516 manufacturing firms in Vietnam for the period of 2014 to 2018, we find that longer-term contracts are positively related to firm propensity of innovation. However, only c
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15

Arnau Raventós, Lídia. "Tipología contractual, vinculación entre contratos y desistimiento: los argumentos de la STJUE, de 12 de marzo de 2020 (asunto C- 583/18)." Revista Electrónica de Direito 23, no. 3 (2020): 5–27. http://dx.doi.org/10.24840/2182-9845_2020-0003_0002.

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The Court denies the term “contracts for passenger transport services” (art. 3,3.k Dir. 2011/83) includes the service contract whose object is to entitle the consumer to a price reduction when passenger transport contract are subsequently concluded. The arguments are: the contract is neither itself directly concerned with enabling the transporting of passengers to be carried out, nor is a contract “inextricably linked” to the transport contract and the exercise of withdrawal will not entail disproportionate consequences to the professional. The comment analyzes the three arguments.
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16

Gelpern, Anna, Mitu Gulati, and Jeromin Zettelmeyer. "If Boilerplate Could Talk: The Work of Standard Terms in Sovereign Bond Contracts." Law & Social Inquiry 44, no. 03 (2019): 617–46. http://dx.doi.org/10.1017/lsi.2018.14.

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Standard contract terms are “sticky”: they rarely change, even if change appears to be in the parties’ interest. Multiple theories to explain stickiness do not reach consensus on its causes. We investigate the role of stickiness in sovereign bond contracts, where it would be especially costly and therefore puzzling. In our interviews with more than a 100 officials responsible for the bond contracts of twenty-eight countries, they linked reluctance to change non-financial contract terms and the imperative of following a “market standard” for such terms. When a term could be described as standar
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17

Blažo, Ondrej. "Nullity and ineffectiveness of contracts as a consequence of violation of EU competition and public procurement rules." Strani pravni zivot, no. 4 (2020): 69–83. http://dx.doi.org/10.5937/spz64-29632.

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The presented paper will focus on the extent of requirements of EU law for nullity or ineffectiveness of contracts in specific areas linked to functioning internal market: competition law, including agreements restricting competition, abuse of dominant position, merger control and state aid, and rules of public procurement. The scope of EU-law-based nullity is quite limited and only Art. 101(2) TFEU provides expressed nullity of agreements restricting competition. In the case of abuse of dominance, nullity of contract constituting abuse of dominant position can be drawn from the principle of e
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18

Botha, Larysa, and Renier Steyn. "Conceptualisation of Psychological Contract: Definitions, Typologies and Measurement." Journal of Social Science Studies 8, no. 2 (2021): 1. http://dx.doi.org/10.5296/jsss.v8i2.18703.

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Background: Psychological contracts, and particularly the honouring of these contracts – are central to employee behaviour and organisational success. The interest of academics and practitioners in this construct is therefore understandable. However, due to the immense amount of information on the topic, a comprehensive review of the literature is necessary. Aim: The aim of this article is to present a critical review on the conceptualisation of the psychological contract, distilling and operationalising the concept, to ensure that debate and future research are linked to a dominant body of kn
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19

Chan, Leunglung, and Eckhard Platen. "Pricing of long dated equity-linked life insurance contracts." Stochastic Analysis and Applications 34, no. 2 (2016): 339–55. http://dx.doi.org/10.1080/07362994.2015.1136563.

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20

Zhang, Zhimin, and Yaodi Yong. "Valuing guaranteed equity-linked contracts by Laguerre series expansion." Journal of Computational and Applied Mathematics 357 (September 2019): 329–48. http://dx.doi.org/10.1016/j.cam.2019.02.032.

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21

Sánchez Soliño, Antonio. "Sustainability of Public Services: Is Outsourcing the Answer?" Sustainability 11, no. 24 (2019): 7231. http://dx.doi.org/10.3390/su11247231.

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The outsourcing of public services has acquired a prominent position in the political agenda of many countries in recent decades. This paper contributes an analysis of the outsourcing of a public service under a theoretical framework based on a multitask principal-agent model. For the management of the service, a contract is assumed that includes certain incentives to the contractor linked to the outcomes in two types of activities: the first related to cost saving, and the second related to the improvement of the quality of the service. The main results of the paper show, in the first place,
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22

BERRY, ANDREW, and ZORAN MILOSEVIC. "EXTENDING CHOREOGRAPHY WITH BUSINESS CONTRACT CONSTRAINTS." International Journal of Cooperative Information Systems 14, no. 02n03 (2005): 131–79. http://dx.doi.org/10.1142/s0218843005001109.

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Business contracts play a central role in governing commercial interactions between organizations. It is increasingly recognized that business contract conditions need to be closely linked to internal and external business processes, both to reduce the risk of contract violations and to ensure compliance with legislative regimes. Recent research has proposed contract languages allowing the specification of obligations, permissions and prohibitions in business contracts. Business processes that cross-organizational boundaries can be specified in choreography and coordination languages but these
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23

Villarroel, Javier. "Valuation of Endowment-Insurance Equity-Linked Contracts for Stocks with Exotic Dynamics." Scientific World Journal 2014 (2014): 1–11. http://dx.doi.org/10.1155/2014/314286.

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We consider the fair martingale prize of insurance contracts with benefit received either at the insurer’s demise or at maturity. We show how to modify the dynamics of the underlying so as to incorporate the possibility that the traded stock has a strong support at some level. The resulting dynamics is integrated and the fair prize of several natural endowment-insurance contracts is obtained.
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24

Mattos, César Costa Alves de. "Road Infrastructure in Brazil and regulatory economic incentives." RDAI | Revista de Direito Administrativo e Infraestrutura 2, no. 5 (2018): 49–76. http://dx.doi.org/10.48143/rdai/05.ccam.

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This article assesses the regulatory economic incentives established for the road concession sector in Brazil. Incentives are linked to the scope for “renegotiation” of tariffs and duties to which the company subject to regulation committed, mainly the investment schedule. In Brazil, all renegotiations are based on the maintenance of the economic and financial balance of the concession contract (EFECC). The Brazilian legislation has some basic principles for the EFECC, but most of the main guidelines are currently described in the concession contracts. In the case of road concessions, there ha
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Dwiyanti, Retno, Pambudi Rahardjo, Imam Faisal Hamzah, and Siti Aisyah Binti Panatik. "The Effect of Psychological Contracts: Transactional, Relational, Balance on Organizational Citizenship Behaviors University Staff in Indonesia and Malaysia." International Journal of Scientific Research and Management 9, no. 02 (2021): 550–54. http://dx.doi.org/10.18535/ijsrm/v9i2.sh01.

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Organization Citizenship Behavior is an extra-role individual behavior that is discretionary which is not directly recognized by the formal reward system and will jointly encourage organizational functions. Psychological contracts and their fulfillment are linked to employee responses consisting of intra-role and extra-role performance. The purpose of this study was to determine the effect of the transactional contract, relational contract, and balance contract on organizational citizenship behavior. The sample in this study was 313 university staff in Indonesia and universities in Malaysia. D
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Kilponen, Juha, and Torsten Santavirta. "New Evidence on Implicit Contracts from Linked Employer-Employee Data*." Scandinavian Journal of Economics 112, no. 4 (2010): 864–83. http://dx.doi.org/10.1111/j.1467-9442.2010.01623.x.

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27

BIELECKI, TOMASZ R., IGOR CIALENCO, and ISMAIL IYIGUNLER. "COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS." International Journal of Theoretical and Applied Finance 16, no. 02 (2013): 1350009. http://dx.doi.org/10.1142/s021902491350009x.

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In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties — an investor and a counterparty. Moreover, we model the margin process as a functional of the credit ratings of the counterparty and the investor. We employ a Markovian approach for modeling of the rating transitions of the two parties to the contract. In this framework, we derive the representation for bila
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Rodwell, John, Julia Ellershaw, and Rebecca Flower. "Fulfill psychological contract promises to manage in-demand employees." Personnel Review 44, no. 5 (2015): 689–701. http://dx.doi.org/10.1108/pr-12-2013-0224.

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Purpose – The purpose of this paper is to explore the impact of three components of the psychological contract (i.e. obligations, fulfillment and breach) and the individual characteristic negative affectivity (NA) onto three key outcomes, namely, job satisfaction, organizational identification and psychological distress. Design/methodology/approach – Questionnaires were completed by 222 Australian nurses and midwives from a medium-sized metropolitan Australian hospital. The response rate for the study was 39 percent. Findings – Structural equation modeling revealed that perceptions of psycholo
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Santos, Luis Paulo Guimarães dos. "Comparing the Use of Forward-Looking and Contemporary Performance Measurement to Formulate Incentive Contracts in the Presence of the Horizon Problem: An Experimental Analysis." Revista Contabilidade & Finanças 26, no. 68 (2015): 195–207. http://dx.doi.org/10.1590/1808-057x201501060.

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<p>This study compares the use of forward-looking and contemporary performance measurement in incentive contracts in the presence of the horizon problem. To do this, we used a single-factor experiment between pre- and post-treatment subjects, with a control group. The study had the participation of 76 undergraduate students, divided into 3 groups, and it registered that, when compared to the control group and the treatment group linked to contemporary performance measurement, the participants under the contract that rewarded having a forward-looking measurement as a basis acted more cong
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Caldarelli, Gioia. "Unilateral Modification of Long Term Contracts: American Change of Terms Clauses and Italian Ius Variandi from a ‘Relational’ Point of View." European Review of Contract Law 17, no. 1 (2021): 37–53. http://dx.doi.org/10.1515/ercl-2021-0002.

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Abstract This article analyses the compromise required between certainty and flexibility in long-term contracts, which would appear to be intrinsically linked to the adoption of adjustment tools. The allocation of rights and risks at the beginning of a contract may include the enforceability of clauses which empowers one party to unilaterally amend the original terms of the contract. On the one hand, a right granted by a change of terms clause, if properly exercised, may allow both parties to obtain the most from a long-term contract. On the other, it is essential to provide limitations so as
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Luoma, Arto, Anne Puustelli, and Lasse Koskinen. "Bayesian analysis of equity-linked savings contracts with American-style options." Quantitative Finance 14, no. 2 (2013): 343–56. http://dx.doi.org/10.1080/14697688.2013.808373.

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32

Ammous, Dorra Guermazi, and Fathi Abid. "Valuation of the surrender option in equity-linked life insurance contracts." International Journal of Auditing Technology 3, no. 4 (2017): 282. http://dx.doi.org/10.1504/ijaudit.2017.091320.

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Abid, Fathi, and Dorra Guermazi Ammous. "Valuation of the surrender option in equity-linked life insurance contracts." International Journal of Auditing Technology 3, no. 4 (2017): 282. http://dx.doi.org/10.1504/ijaudit.2017.10012447.

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Melnikov, Alexander, and Shuo Tong. "Quantile hedging on equity-linked life insurance contracts with transaction costs." Insurance: Mathematics and Economics 58 (September 2014): 77–88. http://dx.doi.org/10.1016/j.insmatheco.2014.06.005.

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35

Liang, Xiaoqing, Cary Chi-Liang Tsai, and Yi Lu. "Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality." Insurance: Mathematics and Economics 70 (September 2016): 150–61. http://dx.doi.org/10.1016/j.insmatheco.2016.06.004.

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36

Vandaele, Nele, and Michèle Vanmaele. "Explicit portfolio for unit-linked life insurance contracts with surrender option." Journal of Computational and Applied Mathematics 233, no. 1 (2009): 16–26. http://dx.doi.org/10.1016/j.cam.2008.04.031.

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37

Pfeifer, Christian. "Fixed-term contracts and wages revisited using linked employer-employee data." Journal for Labour Market Research 45, no. 2 (2012): 171–83. http://dx.doi.org/10.1007/s12651-012-0107-9.

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38

Nielsen, J. Aase, and Klaus Sandmann. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts." Geneva Papers on Risk and Insurance Theory 21, no. 1 (1996): 65–102. http://dx.doi.org/10.1007/bf00949051.

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Potts, Shaina. "Reterritorializing economic governance: Contracts, space, and law in transborder economic geographies." Environment and Planning A: Economy and Space 48, no. 3 (2015): 523–39. http://dx.doi.org/10.1177/0308518x15607468.

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All large firms exploit regulatory variation across jurisdictions by exporting activity to strategic locations around the globe. Less well known are the ways major economic players bring other jurisdictions to them without moving at all. The use of governing law clauses by which parties select which jurisdiction’s laws will apply to their contracts, means that many commercial contracts today, especially in finance, have little or no significant connection to the jurisdictions that govern them. In this article, I explore 20th-century transformations in US choice of law practices to argue that c
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Nottage, Luke. "Form and Substance in US, English, New Zealand and Japanese Law: A Framework for Better Comparisons of Developments in the law of Unfair Contracts." Victoria University of Wellington Law Review 26, no. 2 (1996): 247. http://dx.doi.org/10.26686/vuwlr.v26i2.6167.

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There was talk of change in the law of contract in the United States, England, New Zealand and Japan in the 1990s. Often this was linked to broader trends of internationalisation. This article builds on the "form-substance" framework proposed by Atiyah and Summers, focusing on the fine print doctrine, the duty of good faith, and the law of unconscionability and undue influence. It argues that developments in these areas of contract law, which control unfair contracts, tend to be consistent with the overall orientation of each national legal system. This suggests that counter-systemic developme
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Ebbers, Joris J., and Nachoem M. Wijnberg. "Latent organizations in the film industry: Contracts, rewards and resources." Human Relations 62, no. 7 (2009): 987–1009. http://dx.doi.org/10.1177/0018726709335544.

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The main aim of this article is to study the extent to which the project-based organization (PBO) and the latent organization determine the actual behavior of actors in a project-based industry and how this is mediated by the types of contracts and rewarding practices these organizational forms allow. Labor contracts connected to the PBO are mostly transactional in nature, while the members of the latent organization are linked by relational contracts. Interviews with Dutch film producers show that the transactional contracts connected to the PBO are less important than the relational contract
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Dr.D.Rajasekar, Dr D. Rajasekar, and Capt Dushyant Berry. "“Container Freight Procurement & Probable Use of Index Linked Contracts”-An Analysis of Insight Into Shippers’ Perspective." Indian Journal of Applied Research 3, no. 11 (2011): 286–89. http://dx.doi.org/10.15373/2249555x/nov2013/94.

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Deelstra, Griselda, Pierre Devolder, Kossi Gnameho, and Peter Hieber. "VALUATION OF HYBRID FINANCIAL AND ACTUARIAL PRODUCTS IN LIFE INSURANCE BY A NOVEL THREE-STEP METHOD." ASTIN Bulletin 50, no. 3 (2020): 709–42. http://dx.doi.org/10.1017/asb.2020.25.

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AbstractFinancial products are priced using risk-neutral expectations justified by hedging portfolios that (as accurate as possible) match the product’s payoff. In insurance, premium calculations are based on a real-world best-estimate value plus a risk premium. The insurance risk premium is typically reduced by pooling of (in the best case) independent contracts. As hybrid life insurance contracts depend on both financial and insurance risks, their valuation requires a hybrid valuation principle that combines the two concepts of financial and actuarial valuation. The aim of this paper is to p
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44

Melnikov, Alexander, and Shuo Tong. "Efficient hedging for equity-linked life insurance contracts with stochastic interest rate." Risk and Decision Analysis 4, no. 3 (2013): 207–23. http://dx.doi.org/10.3233/rda-2012-0087.

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45

Melnikov, Alexander, and Shuo Tong. "Quantile hedging for equity-linked life insurance contracts with stochastic interest rate." Systems Engineering Procedia 4 (2012): 9–24. http://dx.doi.org/10.1016/j.sepro.2011.11.044.

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46

Tsung, Lee Yung. "A Framework to Charge for Unit-Linked Contracts When Considering Guaranteed Risk." Asian Economic and Financial Review 5, no. 3 (2015): 495–509. http://dx.doi.org/10.18488/journal.aefr/2015.5.3/102.3.495.509.

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47

Kolkiewicz, A. W., and K. S. Tan. "Unit-Linked Life Insurance Contracts with Lapse Rates Dependent on Economic Factors." Annals of Actuarial Science 1, no. 1 (2006): 49–78. http://dx.doi.org/10.1017/s1748499500000051.

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ABSTRACTMany recently introduced unit-linked life insurance policies contain provisions allowing policyholders to lapse the product. The problem of pricing this surrender option is difficult as it involves modelling lapse decisions which may be contingent on different factors. This paper develops a methodology which enables us to model lapse behaviour within a framework provided by developments in financial economics. Using marked point processes with stochastic intensities, we present an approach which accounts for changes in the lapse behaviour of policyholders due to different economic fact
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48

Dahl, Mikkel. "Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts." Insurance: Mathematics and Economics 35, no. 1 (2004): 113–36. http://dx.doi.org/10.1016/j.insmatheco.2004.05.003.

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Bernard, Carole, and Phelim P. Boyle. "A Natural Hedge for Equity Indexed Annuities." Annals of Actuarial Science 5, no. 2 (2011): 211–30. http://dx.doi.org/10.1017/s1748499511000066.

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Abstract:
AbstractEquity linked products are popular in many countries. These contracts generally provide a guaranteed return combined with some participation in the market performance, often computed using a complicated formula. Hedging these contracts often presents a real challenge for insurers in particular during a financial crisis. In this paper, we explain how insurers can benefit from selling a pool of different contracts with different sensitivities to certain key variables to reduce risk exposure. We show how they can diversify their menu of policy designs to stabilize the market value of thei
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Blake, D., A. J. G. Cairns, and K. Dowd. "Living with Mortality: Longevity Bonds and Other Mortality-Linked Securities." British Actuarial Journal 12, no. 1 (2006): 153–97. http://dx.doi.org/10.1017/s1357321700004736.

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ABSTRACTThis paper addresses the problem of longevity risk — the risk of uncertain aggregate mortality — and discusses the ways in which life assurers, annuity providers and pension plans can manage their exposure to this risk. In particular, it focuses on how they can use mortality-linked securities and over-the-counter contracts — some existing and others still hypothetical — to manage their longevity risk exposures. It provides a detailed analysis of two such securities — the Swiss Re mortality bond issued in December 2003 and the EIB/BNP longevity bond announced in November 2004. It then l
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