Pricing of multi-period rate of return guarantees.
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Publication:1423346
DOI10.1016/j.insmatheco.2003.09.004zbMath1103.91351OpenAlexW2015321472MaRDI QIDQ1423346
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.09.004
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- The Pricing of Options and Corporate Liabilities
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
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- Minimum Rate of Return Guarantees: The Danish Case
- An equilibrium characterization of the term structure
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- Credit risk valuation. Methods, models, and applications.