Return distributions of equity-linked retirement plans under jump and interest rate risk
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Publication:362051
DOI10.1007/s13385-013-0061-0zbMath1278.91135OpenAlexW2039010433MaRDI QIDQ362051
Nils Detering, Uwe Wystup, Andreas Weber
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-013-0061-0
jump-diffusion modelactuarial reserve fundcapital guarantee mechanismsCPPIdouble exponential jumpsHull-White modelretirement provision planshort rate processstop-loss method
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