On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity
Year of publication: |
2007
|
---|---|
Authors: | Siu, Tak ; Lau, John ; Yang, Hailiang |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 3, p. 255-275
|
Publisher: |
Springer |
Subject: | APGARCH model | Conditional Esscher transforms | Conditional heteroscedasticity | Default option | Leverage effect | Memoryness | Participating life insurance policies |
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