Cliquet-style return guarantees in a regime switching Lévy model
Peter Hieber
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Hieber, Peter |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 138-147
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| Subject: | Insurance contracts | Cliquet-style guarantee | Ratchet-type guarantee | Annual guarantee | Regime switching | Lévy model | Fourier pricing | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Bürgschaft | Surety | Bankgarantie | Bank guarantee | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.11.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011694412