Stochastic interest rate in life insurance: The principle of equivalence revisited
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Publication:4235019
DOI10.1080/03461238.1998.10413996zbMath1031.62506OpenAlexW2071075667MaRDI QIDQ4235019
Publication date: 25 March 1999
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1998.10413996
Related Items
Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ A law of large numbers approach to valuation in life insurance ⋮ Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
Cites Work
- The Pricing of Options and Corporate Liabilities
- On the application of Thiele's differential equation in life insurance
- A stochastic version of Thiele's differential equation
- Thiele's differential equation as a tool in product development in life insurance
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Hattendorff's theorem and Thiele's differential equation generalized
- Pricing of Unit-linked Life Insurance Policies
- Thiele's differential equation with stochastic interest of diffusion type
- An equilibrium characterization of the term structure
