Pricing insurance drawdown-type contracts with underlying Lévy assets
Year of publication: |
March 2018
|
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Authors: | Palmowski, Zbigniew ; Tumilewicz, Joanna |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 79.2018, p. 1-14
|
Subject: | Insurance contract | Fair valuation | Drawdown | Drawup | Lévy process | Optimal stopping | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Vertrag | Contract | Vertragstheorie | Contract theory | Versicherung | Insurance | Suchtheorie | Search theory | Lebensversicherung | Life insurance |
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