Pricing of long dated equity-linked life insurance contracts
DOI10.1080/07362994.2015.1136563zbMATH Open1344.60064OpenAlexW2276491822MaRDI QIDQ2804516FDOQ2804516
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 processgrowth optimal portfolioquadratic term structurezero coupon bondlife insurance contracts
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)
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Cited In (5)
- Equity-linked life insurance: A model with stochastic interest rates
- Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
- Pricing equity-linked pure endowments via the principle of equivalent utility.
- A comparative study of pricing approaches for longevity instruments
- Title not available (Why is that?)
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