Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
Farzad Alavi Fard; Ning Rong
| Year of publication: |
2014
|
|---|---|
| Authors: | Fard, Farzad Alavi ; Rong, Ning |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 10.2014, 2, p. 315-332
|
| Subject: | Ruin contingent life annuity | Regime switching variance gamma | Esscher transform | Pricing and risk management | Risikomanagement | Risk management | Theorie | Theory | Leibrente | Life annuity | Markov-Kette | Markov chain | Finanzmathematik | Mathematical finance | Lebensversicherung | Life insurance | Risiko | Risk | Risikomodell | Risk model |
| 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/10010350833