Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility
Alexander van Haastrecht, Roger Lord, Antoon Pelsser, David Schrager
| Year of publication: |
2009
|
|---|---|
| Authors: | van Haastrecht, Alexander ; Lord, Roger ; Pelsser, Antoon André Jean ; Schrager, David |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 45.2009, 3, p. 436-448
|
| Subject: | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Versicherungsmathematik | Actuarial mathematics | Optionspreistheorie | Option pricing theory | Versicherung | 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/10009517550