Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

DOI10.1016/j.insmatheco.2009.09.003zbMath1231.91461OpenAlexW3123884023MaRDI QIDQ659168

Alexander van Haastrecht, Antoon Pelsser, Roger Lord, David F. Schrager

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.09.003

zbMATH Keywords

stochastic volatilityequityforeign exchangestochastic interest ratesinsurance contracts

Mathematics Subject Classification ID

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Cites Work

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