Indifference pricing of insurance-linked securities in a multi-period model
Haibo Liu, Qihe Tang, Zhongyi Yuan
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Haibo ; Tang, Qihe ; Yuan, Zhongyi |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 289.2021, 2 (1.3.), p. 793-805
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| Subject: | Pricing | Contingent claim | Exponential utility | Multi-period model | Time consistency | Optionspreistheorie | Option pricing theory | Nutzenfunktion | Utility function | Insurance-Linked Securities | Insurance-linked securities | CAPM | Unvollkommener Markt | Incomplete market | Nutzen | Utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.07.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416884