Robustly hedging variable annuities with guarantees under jump and volatility risks
T. F. Coleman; Y. Kim; Y. Li; M. Patron
| Year of publication: |
2007
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|---|---|
| Authors: | Coleman, T. F. ; Kim, Y. ; Li, Yuying ; Patron, M. |
| Published in: |
The journal of risk and insurance : the journal of the American Risk and Insurance Association. - Malden, Mass. [u.a] : Blackwell, ISSN 0022-4367, ZDB-ID 410673-8. - Vol. 74.2007, 2, p. 347-376
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| Subject: | Lebensversicherung | Life insurance | Risiko | Risk | Hedging | Black-Scholes-Modell | Black-Scholes model | Volatilität | Volatility |
| 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/10003483852