Valuing inflation-linked death benefits under a stochastic volatility framework
Zongxia Liang, Wenlong Sheng (Department of Mathematical Sciences, Tsinghua University, Beijing, China)
| Year of publication: |
July 2016
|
|---|---|
| Authors: | Liang, Zongxia ; Sheng, Wenlong |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 45-58
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| Subject: | Guaranteed minimum death benefits | Variable annuities | Heath-Jarrow-Morton model | Schöbel and Zhu model | Stochastic volatility | Stochastic inflation | Stochastic interest rates | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Inflation | Zins | Interest rate | Zinsstruktur | Yield curve | Lebensversicherung | Life insurance | Versicherungsmathematik | Actuarial mathematics | Sterblichkeit | Mortality |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.03.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011530922