The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts
Year of publication: |
2010
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Authors: | Li, Jing ; Szimayer, Alexander |
Publisher: |
Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE) |
Subject: | Lebensversicherung | Indexierung | Wertpapieranalyse | Hedging | Versicherungstechnisches Risiko | Sterblichkeit | Stochastischer Prozess | Kontrolltheorie | Theorie | unit-linked life insurance contracts | mortality model risk | price bounds | stochastic control |
Series: | Bonn Econ Discussion Papers ; 13/2010 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 631986537 [GVK] hdl:10419/38809 [Handle] RePEc:zbw:bonedp:132010 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; G22 - Insurance; Insurance Companies ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: |
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Li, Jing, (2010)
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Li, Jing, (2011)
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Li, Jing, (2010)
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