No-arbitrage pricing for life insurance and annuities

Economics Letters

Volumn 64, Issue 3, 1999, Pages 339-342

  Carriere, Jacques F ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

G12; G22; Life insurance and annuities; No arbitrage pricing; Term structure of interest rates

Indexed keywords

EID: 0033435047     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(99)00103-2     Document Type: Article

References (3)

1. Bowers N.L., Gerber H.U., Hickman J.C., Jones D.A., Nesbitt C.J. Actuarial Mathematics. 2nd ed :1997;Society of Actuaries, Schaumburg, IL.
2. Duffie D. Dynamic Asset Pricing Theory. 1992;Princeton University Press, Princeton, NJ.
3. Musiela M., Rutkowski M. Martingale Methods in Financial Modelling. 1998;Springer, New York.