Analytical approximations for prices of swap rate dependent embedded options in insurance products
Year of publication: |
2009
|
---|---|
Authors: | Plat, Richard ; Pelsser, Antoon |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 44.2009, 1, p. 124-134
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Publisher: |
Elsevier |
Keywords: | IE43 IE54 IB10 Embedded options Insurance products Analytical approximation Gaussian interest rate model Fair Value of Liabilities |
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Analytical approximations for prices of swap rate dependent embedded options in insurance products
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