On valuing participating life insurance contracts with conditional heteroscedasticity
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Publication:928174
DOI10.1007/s10690-007-9062-9zbMath1136.91488OpenAlexW2038273690MaRDI QIDQ928174
Hailiang Yang, Tak Kuen Siu, John W. Lau
Publication date: 11 June 2008
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-007-9062-9
Conditional heteroscedasticityParticipating life insurance policiesAPGARCH modelConditional Esscher transformsDefault optionLeverage effectMemoryness
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