scientific article; zbMATH DE number 1069523

MaRDI QIDQ4356481zbMATH OpenFDO

Authors Jørgen Aase Nielsen

Publication date 1 October 1997

zbMATH Keywords

multi-premium caseordinary stochastic differential equationpricing of Asian optionsstochastic interest rate process

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Equity-linked life insurance: A model with stochastic interest rates
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Efficient hedging for equity-linked life insurance contracts with stochastic interest rate

Cited in

(4)

• Equity-linked life insurance: A model with stochastic interest rates
• Pricing of long dated equity-linked life insurance contracts
• scientific article; zbMATH DE number 2183266 (Why is no real title available?)
• Pricing rate of return guarantees in regular premium unit linked insurance

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4356481)