Pricing Rate of Return Guarantees in Regular Premium Unit Linked Insurance

Insurance: Mathematics and Economics

Volumn 35, Issue 2 SPEC. ISS., 2004, Pages 369-398

  Schrager, David F ^a,b   Pelsser, Antoon A J ^c,d  

^a ALM Department   (Netherlands)

^b UNIVERSITY OF AMSTERDAM   (Netherlands)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^d ING Group   (Netherlands)

Author keywords

Average rate option; Convexity correction; LIBOR Market Model; Return guarantee

Indexed keywords

EID: 4644234809     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2004.07.003     Document Type: Article

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