Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
Adam W. Kolkiewicz and Fangyuan Sally Lin
| Year of publication: |
2017
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|---|---|
| Authors: | Kolkiewicz, Adam W. ; Lin, Fangyuan Sally |
| Published in: |
North American actuarial journal. - Philadelphia, Pa. : Taylor & Francis, ISSN 1092-0277, ZDB-ID 1380138-7. - Vol. 21.2017, 3, p. 433-457
|
| Subject: | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Risiko | Risk | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/10920277.2017.1302804 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011858071