Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Yang Shen; Tak Kuen Siu
| Year of publication: |
2013
|
|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 52.2013, 1, p. 114-123
|
| Subject: | Sterblichkeit | Mortality | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Anleihe | Bond | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009718990