Pricing participating policies under the Meixner process and stochastic volatility

DOI10.1080/03461238.2016.1193557zbMath1402.91214OpenAlexW2410582689MaRDI QIDQ4577195

Brett Shanahan, Farzad Alavi Fard, John van der Hoek

Publication date: 17 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2016.1193557

zbMATH Keywords

stochastic volatilityMeixner processMEMMparticipating products

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Martingales with continuous parameter (60G44)

Related Items (2)

An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ Pricing vulnerable options with stochastic volatility

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