Modeling investment guarantees in Japan : a risk-neutral GARCH approach
Year of publication: |
2011
|
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Authors: | Ng, Andrew Cheuk-yin ; Li, Johnny Siu-hang ; Chan, Wai-Sum |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 20.2011, 1, p. 20-26
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Subject: | Esscher transform | Investment guarantees | Variable annuities | Japan | Theorie | Theory | ARCH-Modell | ARCH model | Internationales Investitionsrecht | International investment law | Private Altersvorsorge | Private retirement provision |
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