A Lévy process-based framework for the fair valuation of participating life insurance contracts

Insurance: Mathematics and Economics

Volumn 37, Issue 2 SPEC. ISS., 2005, Pages 173-196

  Ballotta, Laura ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Esscher transform; Fair value; Incomplete markets; L vy processes; Participating contracts

Indexed keywords

EID: 26844486981     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.10.001     Document Type: Article

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