Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions

DOI10.1080/10920277.2018.1538805zbMath1410.91270OpenAlexW2766260816WikidataQ128296038 ScholiaQ128296038MaRDI QIDQ5382571

Florian Klein, Hato Schmeiser

Publication date: 18 June 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://www.alexandria.unisg.ch/252132/1/Heterogeneous%20Premiums%20for%20Homogeneous%20Risks%20Asset%20Liability%20Management%20under%20Default%20Probability%20and%20Price%20Demand%20Functions%20%281%29.pdf

zbMATH Keywords

asset liability modelheterogeneous premiumsMargrabe-Fischer option-pricing formula

Mathematics Subject Classification ID

Cites Work

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