Pricing equity-linked pure endowments with risky assets that follow Lévy processes (Q882858)
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scientific article; zbMATH DE number 5156967
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| English | Pricing equity-linked pure endowments with risky assets that follow Lévy processes |
scientific article; zbMATH DE number 5156967 |
Statements
Pricing equity-linked pure endowments with risky assets that follow Lévy processes (English)
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24 May 2007
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Equity-linked pure endowments
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Equity indexed annuities
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Indifference pricing
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Exponential utility
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Lévy processes
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Heavy tailed distribution
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0.8659984469413757
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0.7838733196258545
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0.7838733196258545
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0.7548540234565735
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