Valuation and risk assessment of participating life insurance in the presence of credit risk
Year of publication: |
November 2016
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Authors: | Eckert, Johanna ; Gatzert, Nadine ; Martin, Michael |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 382-393
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Subject: | Participating life insurance | Credit risk | Interest rate risk | Risk-neutral valuation | Asset management | Lebensversicherung | Life insurance | Kreditrisiko | Theorie | Theory | Risikomanagement | Risk management | Zinsrisiko | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomodell | Risk model |
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