Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions (Q5382571)
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scientific article; zbMATH DE number 7067213
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| English | Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions |
scientific article; zbMATH DE number 7067213 |
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Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions (English)
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18 June 2019
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asset liability model
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heterogeneous premiums
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Margrabe-Fischer option-pricing formula
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0.87780946
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0.85135406
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0.8509756
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0.84783345
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0.8449197
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0.84191835
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0.84007025
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0.8395758
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