Floor Options on Structured Products and Life Insurance Contracts

作者: Rami Yosef

DOI:

关键词:

摘要:

参考文章(12)
Rami Yosef, Uri Benzion, Shulamith T Gross, None, Pricing of a European Call Option on Pension Annuity Insurance Journal of Insurance Issues. ,vol. 27, pp. 66- 82 ,(2004)
Samuel Karlin, Howard E Taylor, A second course in stochastic processes ,(1981)
DARRELL DUFFIE, KENNETH J. SINGLETON, An Econometric Model of the Term Structure of Interest-Rate Swap Yields Journal of Finance. ,vol. 52, pp. 1287- 1321 ,(1997) , 10.1111/J.1540-6261.1997.TB01111.X
John A. Beekman, Clinton P. Fuelling, Interest and Mortality Randomness in Some Annuities Insurance Mathematics & Economics. ,vol. 9, pp. 185- 196 ,(1990) , 10.1016/0167-6687(90)90033-A
John A. Beekman, Clinton P. Fuelling, Extra randomness in certain annuity models Insurance Mathematics & Economics. ,vol. 10, pp. 275- 287 ,(1992) , 10.1016/0167-6687(92)90059-K
Michael J. Brennan, Eduardo S. Schwartz, The pricing of equity-linked life insurance policies with an asset value guarantee Journal of Financial Economics. ,vol. 3, pp. 195- 213 ,(1976) , 10.1016/0304-405X(76)90003-9
Eric Briys, François De Varenne, Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications Geneva Risk and Insurance Review. ,vol. 19, pp. 53- 72 ,(1994) , 10.1007/BF01112014
Laura Ballotta, Steven Haberman, Valuation of guaranteed annuity conversion options Insurance Mathematics & Economics. ,vol. 33, pp. 87- 108 ,(2003) , 10.1016/S0167-6687(03)00146-X
Gary Parker, TWO STOCHASTIC APPROACHES FOR DISCOUNTING ACTUARIAL FUNCTIONS Astin Bulletin. ,vol. 24, pp. 167- 181 ,(1994) , 10.2143/AST.24.2.2005063
Harry H. Panjer, David R. Bellhouse, Stochastic Modelling of Interest Rates with Applications to Life Contingencies. Part II Journal of Risk and Insurance. ,vol. 47, pp. 628- ,(1980) , 10.2307/252684