Pricing of Unit-linked Life Insurance Policies
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Publication:4311651
DOI10.1080/03461238.1994.10413928zbMath0814.62067OpenAlexW2032530011MaRDI QIDQ4311651
Svein-Arne Persson, Knut Kristian Aase
Publication date: 18 June 1995
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1994.10413928
partial differential equationarbitrage pricingunit-linked insuranceThiele's equationequity-linked insurancemartingale theoryprinciple of equivalencerisk-minimizing trading strategies
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Cites Work
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- The Pricing of Options and Corporate Liabilities
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
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