Valuing equity-linked death benefits in general exponential Lévy models
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Publication:2332688
DOI10.1016/j.cam.2019.112377zbMath1430.91079WikidataQ115581028 ScholiaQ115581028MaRDI QIDQ2332688
Zhimin Zhang, Wenguang Yu, Yaodi Yong
Publication date: 5 November 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112377
60G51: Processes with independent increments; Lévy processes
91G60: Numerical methods (including Monte Carlo methods)
91G05: Actuarial mathematics
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