Intensity-based framework for surrender modeling in life insurance
Year of publication: |
January 2017
|
---|---|
Authors: | Russo, Vincenzo ; Giacometti, Rosella ; Fabozzi, Frank J. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 189-196
|
Subject: | Life insurance | Surrender option | Intensity-based models | Vasicek model | Cox-Ingersoll-Ross (CIR) model | Best estimate of liabilities (BEL) | Lebensversicherung | Optionspreistheorie | Option pricing theory |
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