On Financial Guarantee Insurance under Stochastic Interest Rates
We extend the financial guarantee insurance literature by modeling, under stochastic interest rates, private financial guarantees when the guarantor potentially defaults. By performing numerical simulations under plausible parameters values, we characterize the differential impact of the incorporation of stochasticity of interest rates on the valuation of both public and private guarantees. The Geneva Papers on Risk and Insurance Theory (1994) 19, 119–137. doi:10.1007/BF01371688
Year of publication: |
1994
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Authors: | Lai, Van Son ; Gendron, Michel |
Published in: |
The Geneva Risk and Insurance Review. - Palgrave Macmillan, ISSN 1554-964X. - Vol. 19.1994, 2, p. 119-137
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Publisher: |
Palgrave Macmillan |
Saved in:
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