Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model (Q2864673): Difference between revisions

@@ Property / author @@
-Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
-Normal rank
@@ Property / author @@
+Guo-jing Wang
@@ Property / author: Guo-jing Wang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610926.2011.639976
+Normal rank
@@ Property / OpenAlex ID @@
+W1985997329
@@ Property / OpenAlex ID: W1985997329 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fourier-series method for inverting transforms of probability distributions
+Normal rank
@@ Property / cites work @@
+A Lévy process-based framework for the fair valuation of participating life insurance contracts
+Normal rank
@@ Property / cites work @@
+Market value of life insurance contracts under stochastic interest rates and default risk
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
+Normal rank
@@ Property / cites work @@
+Analysis of the expected discounted penalty function for a general jump-diffusion risk model and applications in finance
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+Pricing Options in Jump-Diffusion Models: An Extrapolation Approach
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Risk-neutral and actual default probabilities with an endogenous bankruptcy jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
+Normal rank
@@ Property / cites work @@
+A risk model driven by Lévy processes
@@ Property / cites work: A risk model driven by Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing double barrier options using Laplace transforms
+Normal rank
@@ Property / cites work @@
+An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of the double exponential jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Hedging life insurance contracts in a Lévy process financial market
+Normal rank
@@ Property / cites work @@
+ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
+Normal rank
@@ Property / cites work @@
+The perturbed compound Poisson risk model with two-sided jumps
+Normal rank