Valuing variable annuity guarantees on multiple assets
José da Fonseca and Jonathan Ziveyi
| Year of publication: |
February-June 2017
|
|---|---|
| Authors: | Fonseca, José da ; Ziveyi, Jonathan |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 3, p. 209-230
|
| Subject: | moratility risk | variable annuity | stochastic volatility risk | correlation risk | multiple assets | European option | Risiko | Risk | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Private Altersvorsorge | Private retirement provision | Lebensversicherung | Life insurance | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Risikomodell | Risk model | Risikomanagement | Risk management | CAPM | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Altersvorsorge | Retirement provision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2015.1102167 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011772102