An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates
Year of publication: |
2007
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Authors: | Koch, Inge ; De Schepper, Ann |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 40.2007, 3, p. 386-402
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Subject: | Finanzmathematik | Mathematical finance | Risikomaß | Risk measure | Zinsderivat | Interest rate derivative |
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