Fair Valuation of Life Insurance Contracts Under a Correlated Jump Diffusion Model
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Publication:2890522
DOI10.2143/AST.41.2.2136984zbMath1251.91038OpenAlexW1846238758MaRDI QIDQ2890522
Publication date: 11 June 2012
Full work available at URL: https://econpapers.repec.org/article/cupastinb/v_3a41_3ay_3a2011_3ai_3a02_3ap_3a429-447_5f00.htm
Related Items (6)
Nonparametric Estimation of Net Premium Functionals for Different Statuses in Collective Life Insurance ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Optimal asset allocation for participating contracts with mortality risk under minimum guarantee ⋮ FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS ⋮ On the management of life insurance company risk by strategic choice of product mix, investment strategy and surplus appropriation schemes ⋮ Optimal asset allocation for participating contracts under the VaR and PI constraint
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