Fair valuations of insurance policies under multiple risk factors : a flexible lattice approach
Pierre Devolder, Emilio Russo and Alessandro Staino
| Year of publication: |
2024
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|---|---|
| Authors: | Devolder, Pierre ; Russo, Emilio ; Staino, Alessandro |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 54.2024, 2, p. 385-409
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| Subject: | binomial algorithms | lattice models | multiple risk factors | Stochastic interest rate | stochastic mortality | Sterblichkeit | Mortality | Risiko | Risk | Stochastischer Prozess | Stochastic process | Risikomodell | Risk model | Zinsstruktur | Yield curve | Versicherungsmathematik | Actuarial mathematics | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2024.5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015055294