On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174)
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scientific article; zbMATH DE number 5286487
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On valuing participating life insurance contracts with conditional heteroscedasticity |
scientific article; zbMATH DE number 5286487 |
Statements
On valuing participating life insurance contracts with conditional heteroscedasticity (English)
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11 June 2008
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APGARCH model
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Conditional Esscher transforms
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Conditional heteroscedasticity
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Default option
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Leverage effect
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Memoryness
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Participating life insurance policies
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0.777134358882904
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0.7729811072349548
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0.752034068107605
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0.7495099902153015
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