The fair value of guaranteed annuity options

DOI10.1080/03461230500462204zbMath1142.91036OpenAlexW3122848437MaRDI QIDQ3440844

Pietro Millossovich, Enrico Biffis

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230500462204

zbMATH Keywords

optionsfinancial risklongevity riskaffine processesstochastic mortalityannuitiesfair valuedouble stochastic stopping times

Mathematics Subject Classification ID

Related Items (32)

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