On valuing participating life insurance contracts with conditional heteroscedasticity
From MaRDI portal
Publication:928174
DOI10.1007/s10690-007-9062-9zbMath1136.91488OpenAlexW2038273690MaRDI QIDQ928174
Hailiang Yang, Tak Kuen Siu, John W. Lau
Publication date: 11 June 2008
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-007-9062-9
Conditional heteroscedasticityParticipating life insurance policiesAPGARCH modelConditional Esscher transformsDefault optionLeverage effectMemoryness
Related Items
A hidden Markov regime-switching model for option valuation, Pricing annuity guarantees under a double regime-switching model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Fair valuation of participating policies with surrender options and regime switching
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A general version of the fundamental theorem of asset pricing
- Analytical derivates of the APARCH model
- Generalized autoregressive conditional heteroscedasticity
- A stochastic calculus model of continuous trading: Complete markets
- Nonlinear time series. Nonparametric and parametric methods
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- On the fundamental theorem of asset pricing with an infinite state space
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- On Esscher Transforms in Discrete Finance Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Class of Nonlinear Arch Models
- On pricing and reserving with-profits life insurance contracts
- Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
- PRICING PARTICIPATING POLICIES WITH RATE GUARANTEES
- Threshold heteroskedastic models