Valuation of contingent claims with mortality and interest rate risks
نویسندگان
چکیده
منابع مشابه
Valuation of contingent claims with mortality and interest rate risks
We consider the pricing of life insurance contracts under stochastic mortality and interest rates assumed not independent of each other. Employing themethod of change ofmeasure together with the Bayes’ rule for conditional expectations, solution expressions for the value of common contracts are obtained. A demonstration of how to apply our proposed stochastic modelling approach to value surviva...
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ژورنال
عنوان ژورنال: Mathematical and Computer Modelling
سال: 2009
ISSN: 0895-7177
DOI: 10.1016/j.mcm.2008.10.014