A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL
From MaRDI portal
Publication:5066297
DOI10.1142/S0219024922500054zbMath1484.91495arXiv2109.10779MaRDI QIDQ5066297
Stefan Thonhauser, Simon Hochgerner, Sascha Desmettre, Sanela Omerovic
Publication date: 29 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.10779
mean-field games; Solvency II; LIBOR market models; Black's formula; life insurance portfolios; exploding rates; valuation of long-term guarantees
91G30: Interest rates, asset pricing, etc. (stochastic models)
91A16: Mean field games (aspects of game theory)