Valuation of guaranteed unitized participating life insurance under GEV distribution
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Publication:1784719
DOI10.4310/SII.2018.V11.N4.A5OpenAlexW4241445771WikidataQ129218762 ScholiaQ129218762MaRDI QIDQ1784719
Zhengjun Zhang, Manying Bai, Junzhang Hao, Haitao Zheng
Publication date: 27 September 2018
Published in: Statistics and Its Interface (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4310/sii.2018.v11.n4.a5
option pricingMonte Carlo methodgeneralized extreme value distributionguaranteed unitized participating life insurance
Extreme value theory; extremal stochastic processes (60G70) Financial and insurance mathematics (aspects of mathematics education) (97M30)
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