Optimal design of profit sharing rates by FFT

DOI10.1016/J.INSMATHECO.2010.01.004zbMath1231.91456OpenAlexW3124427659MaRDI QIDQ659254

Donatien Hainaut

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.2010.01.004

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Market value of life insurance contracts under stochastic interest rates and default risk
• Stochastic calculus for finance. II: Continuous-time models.
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
• Guaranteed Investment Contracts: Distributed and Undistributed Excess Return

This page was built for publication: Optimal design of profit sharing rates by FFT