Valuing equity-linked death benefits in jump diffusion models
Year of publication: |
2013
|
---|---|
Authors: | Gerber, Hans U. ; Shiu, Elias S.W. ; Yang, Hailiang |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 53.2013, 3, p. 615-623
|
Publisher: |
Elsevier |
Subject: | Equity-linked death benefits | Variable annuities | Jump diffusion | Exponential stopping | Barrier options |
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