How sensitive is the pricing of lookback and interest rate guarantees when changing the modelling assumptions?
Year of publication: |
2015
|
---|---|
Authors: | Orozco-Garcia, Carolina ; Schmeiser, Hato |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 77-93
|
Subject: | Risk | Unit-linked life insurance | Interest rate guarantee | Lookback guarantee | Sensitivity analysis | Zins | Interest rate | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory |
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