The fair valuation problem of guaranteed annuity options: The stochastic mortality environment case

Insurance: Mathematics and Economics

Volumn 38, Issue 1, 2006, Pages 195-214

  Ballotta, Laura ^a   Haberman, Steven ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Fair value; Guaranteed annuity options; Incomplete markets; Stochastic mortality

Indexed keywords

EID: 31544477409     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2005.10.002     Document Type: Article

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