Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
Year of publication: |
2014
|
---|---|
Authors: | Fard, Farzad ; Rong, Ning |
Published in: |
Annals of Finance. - Springer. - Vol. 10.2014, 2, p. 315-332
|
Publisher: |
Springer |
Subject: | Ruin contingent life annuity | Regime switching variance gamma | Esscher transform | Pricing and risk management |
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