Valuing equity-linked death benefits in a regime-switsching framework
By Chi Chung Siu, Sheung Chi Phillip Yam and Hailiang Yang
| Year of publication: |
2015
|
|---|---|
| Authors: | Siu, Chi Chung ; Yam, Sheung Chi Phillip ; Yang, Hailiang |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 45.2015, 2, p. 355-395
|
| Subject: | Regime-switching | jump-diffusion process | equity-linked death benefits | guaranteed minimum death benefits | first passage probabilities | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| 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/10011312281