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Floor Options on Structured Products and Life Insurance Contracts
作者: Rami Yosef
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参考文章
(12)
1.
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)
2.
Samuel Karlin, Howard E Taylor,
A second course in stochastic processes
,(1981)
3.
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
4.
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
5.
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
6.
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
7.
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
8.
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
9.
Gary Parker,
TWO STOCHASTIC APPROACHES FOR DISCOUNTING ACTUARIAL FUNCTIONS
Astin Bulletin.
,vol. 24, pp. 167- 181 ,(1994) ,
10.2143/AST.24.2.2005063
10.
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
来源期刊
Investment management & financial innovations
LLC "CPC "Business Perspectives"
2017 年,
Volume: 3, Issue: 3,
Page:
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