摘要 : In this paper, we investigate the pricing problem for a portfolio of life insurance contracts where the life contingent payments are equity-linked depending on the performance of a risky stock or index. The shot-noise effects are ... 展开
作者 | Liang~ Xiaoqing Lu~ Yi |
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作者单位 | |
期刊名称 | 《Insurance》 |
页码/总页数 | 119-132 / 14 |
语种/中图分类号 | 英语 / F8 |
关键词 | Life insurance Shot-noise process Indifference pricing Partial integro-differential equation Hamilton-Jacobi-Bellman equation |
DOI | 10.1016/j.insmatheco.2017.09.002 |
馆藏号 | F-164 |