Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
Andrew Cheuk-Yin Ng and Johnny Siu-Hang Li
| Year of publication: |
2013
|
|---|---|
| Authors: | Cheuk-yin Ng, Andrew ; Siu-hang Li, Johnny |
| Published in: |
North American actuarial journal. - Philadelphia, Pa. : Taylor & Francis, ISSN 1092-0277, ZDB-ID 1380138-7. - Vol. 17.2013, 1, p. 41-62
|
| Subject: | Hedging | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010259822