Market value of life insurance contracts under stochastic interest rates and default risk
type: Item
instance of: scholarly article
title: Market value of life insurance contracts under stochastic interest rates and default risk
zbMATH Open document ID: 1242.60068
author: Carole Bernard
author: François Quittard-Pinon
author: Olivier Le Courtois
published in: Insurance Mathematics \& Economics
publication date: 2007-05-24T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5156978
zbMATH Keywords: Participating life insurance policies
zbMATH Keywords: Contingent claims valuation
zbMATH Keywords: Default risk
zbMATH Keywords: Stochastic interest rates
zbMATH Keywords: Fortet's equation
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2005.01.002
OpenAlex ID: W2008524151
cites work: Fair Pricing of Life Insurance Participating Policies with a Minimum Interest Rate Guaranteed
cites work: Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
cites work: Guaranteed Investment Contracts: Distributed and Undistributed Excess Return
cites work: Fair valuation of path-dependent participating life insurance contracts.
DOI: 10.1016/J.INSMATHECO.2005.01.002
description: scientific article; zbMATH DE number 5156978