Pricing equity-linked pure endowments with risky assets that follow Lévy processes

DOI10.1016/j.insmatheco.2005.02.010zbMath1242.60069OpenAlexW2017344114MaRDI QIDQ882858

Sebastian Jaimungal, Virginia R. Young

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.010

zbMATH Keywords

Lévy processesEquity indexed annuitiesEquity-linked pure endowmentsExponential utilityHeavy tailed distributionIndifference pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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