Stochastic modeling and fair valuation of drawdown insurance
Year of publication: |
2013
|
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Authors: | Zhang, Hongzhong ; Leung, Tim ; Hadjiliadis, Olympia |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 840-850
|
Subject: | Drawdown insurance | Early cancellation | Optimal stopping | Default risk | Stochastischer Prozess | Stochastic process | Versicherung | Insurance | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Suchtheorie | Search theory | Kreditrisiko | Credit risk | Risiko | Risk | Risikomanagement | Risk management |
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