Variance and Interest Rate Risk in Unit-Linked Insurance Policies
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References listed on IDEAS
- van Haastrecht, Alexander & Lord, Roger & Pelsser, Antoon & Schrager, David, 2009. "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 436-448, December.
- Marc Romano & Nizar Touzi, 1997. "Contingent Claims and Market Completeness in a Stochastic Volatility Model," Mathematical Finance, Wiley Blackwell, vol. 7(4), pages 399-412, October.
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Cited by:
- Corina Constantinescu & Julia Eisenberg, 2021. "Special Issue “Interplay between Financial and Actuarial Mathematics”," Risks, MDPI, vol. 9(8), pages 1-3, July.
- David R. Ba~nos, 2020. "Life insurance policies with cash flows subject to random interest rate changes," Papers 2012.15541, arXiv.org.
- David R. Ba~nos & Salvador Ortiz-Latorre & Oriol Zamora Font, 2024. "A functional variational approach to pricing path dependent insurance policies," Papers 2409.00780, arXiv.org.
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Keywords
unit-linked policies; pure endowment; term insurance; stochastic volatility models; stochastic interest rates;All these keywords.
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