Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment

DOI10.1016/j.insmatheco.2007.09.003zbMath1140.91431OpenAlexW2105308351MaRDI QIDQ938030

Katharina Zaglauer, Daniel J. Bauer

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.09.003

zbMATH Keywords

embedded optionsstochastic interest ratesrisk-neutral valuationparticipating life insurance contracts

Mathematics Subject Classification ID

Related Items (22)

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