Lapse rate modeling: a rational expectation approach

DOI10.1080/03461230802550649zbMath1224.91150OpenAlexW2740092427MaRDI QIDQ3077750

Domenico De Giovanni

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/32357046/F_2007_03.pdf

zbMATH Keywords

splitting methodsurrender optionprepayment models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites Work

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