On valuing participating life insurance contracts with conditional heteroscedasticity (Q928174)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On valuing participating life insurance contracts with conditional heteroscedasticity |
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On valuing participating life insurance contracts with conditional heteroscedasticity (English)
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11 June 2008
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APGARCH model
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Conditional Esscher transforms
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Conditional heteroscedasticity
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Default option
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Leverage effect
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Memoryness
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Participating life insurance policies
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