Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

DOI10.1016/j.insmatheco.2015.06.006zbMath1348.91269OpenAlexW748272486MaRDI QIDQ495497

Elias S. W. Shiu, Hailiang Yang, Hans U. Gerber

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231322

zbMATH Keywords

random walkEsscher transformbinomial and trinomial tree modelsequity-linked death benefitsgeometric stopping

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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