Default risk, bankruptcy procedures and the market value of life insurance liabilities

DOI10.1016/j.insmatheco.2006.04.005zbMath1141.91494MaRDI QIDQ995500

An Chen, Michael Suchanecki

Publication date: 3 September 2007

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

Full work available at URL: http://hdl.handle.net/10419/22953

zbMATH Keywords

contingent claims pricing; default risk; bankruptcy procedures; equity-linked life insurance; liquidation risk; parisian options

Mathematics Subject Classification ID

60K10: Applications of renewal theory (reliability, demand theory, etc.)

60K05: Renewal theory

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