Valuation of flexible insurance contracts

zbMATH Open1117.62116MaRDI QIDQ3441240FDOQ3441240

Authors: M. M. Moliboga, Victoria S. Skornyakova, Alexander Melnikov 

Publication date: 29 May 2007

Full work available at URL: http://www.ams.org/tpms/2006-73-00/S0094-9000-07-00685-0/home.html

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zbMATH Keywords

stochastic volatilityfinancial marketBlack and Scholes formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (6)

• Fair valuations of insurance policies under multiple risk factors: a flexible lattice approach
• Valuation of hybrid financial and actuarial products in life insurance by a novel three-step method
• Implicit options in life insurance contracts
• On pricing and reserving with-profits life insurance contracts
• Zur Bewertung von Versicherung als Option
• A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies

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