Risk-Based Capital Factor Determination With Jump Risk
From MaRDI portal
Publication:5715967
DOI10.1080/10920277.2004.10596138zbMath1085.60516OpenAlexW2039994534MaRDI QIDQ5715967
Publication date: 6 January 2006
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2004.10596138
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Pricing contingent claims on stocks driven by Lévy processes
- Pricing equity-indexed annuities with path-dependent options.
- On Esscher Transforms in Discrete Finance Models
- An Intertemporal General Equilibrium Model of Asset Prices
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Economic Valuation Models for Insurers
This page was built for publication: Risk-Based Capital Factor Determination With Jump Risk