Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
Huan Gao; Rogemar Mamon; Xiaoming Liu; Anton Tenyakov
| Year of publication: |
2015
|
|---|---|
| Authors: | Gao, Huan ; Mamon, Rogemar ; Liu, Xiaoming ; Tenyakov, Anton |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 63.2015, p. 108-120
|
| Subject: | Gompertz model | Markov chain | Change of probability measure | Filtering | Exponential matrix | Markov-Kette | Theorie | Theory | Sterblichkeit | Mortality | Wahrscheinlichkeitsrechnung | Probability theory | Lebensversicherung | Life insurance |
| 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/10011349846