A Lévy process-based framework for the fair valuation of participating life insurance contracts

DOI10.1016/j.insmatheco.2004.10.001zbMath1125.91060MaRDI QIDQ2581775

Laura Ballotta

Publication date: 10 January 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5812/1/levysm2.pdf

zbMATH Keywords

Lévy processes; Esscher transform; Incomplete markets; Participating contracts; Fair value

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91B70: Stochastic models in economics

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