Optimal design of profit sharing rates by FFT

DOI10.1016/J.INSMATHECO.2010.01.004MaRDI QIDQ659254zbMATH OpenOpenAlexFDO

Authors Donatien Hainaut

Publication date 10 February 2012

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.01.004

Mathematics Subject Classification ID

Numerical methods for discrete and fast Fourier transforms (65T50) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A jump-diffusion model for option pricing
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• Market value of life insurance contracts under stochastic interest rates and default risk
• Stochastic calculus for finance. II: Continuous-time models.

Cited in

(2)

• Performance participation at guaranteed interest
• Participating life insurances in an equity-LIBOR market model

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