Pricing of long dated equity-linked life insurance contracts
DOI10.1080/07362994.2015.1136563zbMath1344.60064OpenAlexW2276491822MaRDI QIDQ2804516
Leunglung Chan, Eckhard Platen
Publication date: 29 April 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2015.1136563
stochastic differential equationsmortality ratecall optionsquared Bessel processquadratic term structuregrowth optimal portfoliozero coupon bondlife insurance contracts
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80)
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