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Fair Valuation of Participating Life Insurance Contracts with Jump Risk · Study

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ArticleFair Valuation of Participating Life Insurance Contracts with Jump Risk

Olivier Arnaud Le Courtois2008

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Articlebronze2008

Fair Valuation of Participating Life Insurance Contracts with Jump Risk

Olivier Arnaud Le Courtois · François M. Quittard-Pinon

17 citations·0/0 files stored·The Geneva Risk and Insurance Review

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Stochastic processes and financial applications Insurance and Financial Risk Management Probability and Risk Models

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References

2001Empirical properties of asset returns: stylized facts and statistical issues 1976VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS 2002A Jump-Diffusion Model for Option Pricing 2002The Fine Structure of Asset Returns: An Empirical Investigation 2004Insurance: Mathematics and Economics 2004Option Pricing Under a Double Exponential Jump Diffusion Model 2009Testing for jumps in a discretely observed process 1976The pricing of equity-linked life insurance policies with an asset value guarantee

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Year2008

Typearticle

Published2008-12-01

VenueThe Geneva Risk and Insurance Review

ISSN-L1554-964X

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1057/grir.2008.11

openalex_workW1993436549

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