A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

GENEVA Papers on Risk and Insurance Theory

Volumn 26, Issue 1, 2001, Pages 57-84

  Jensen, Bjarke ^a   Jørgensen, Peter Løchte ^b   Grosen, Anders ^c  

^a SEB Fixed Income Research   (Denmark)

^b AARHUS UNIVERSITY   (Denmark)

^c AARHUS SCHOOL OF BUSINESS   (Denmark)

Author keywords

Contingent claim valuation; Embedded options; Finite difference approach; Numerical solution; Participating life insurance policies

Indexed keywords

EID: 0242306767     PISSN: 09264957     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1011264408187     Document Type: Article

References (20)

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