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Stochastic Analysis of the Interaction Between Investment and Insurance Risks. Fellowship Credit Research Paper
endowment and whole-life insurance policies is studied in a stochastic mortality and interest environment ... rates;Investment strategy;Lapse rates=Lapses;Life insurance;Mortality rates=Mortality tables=Death rates ;Yield curve=Term ...- Authors: Gary Parker
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Life Insurance>Investment strategy - Life Insurance
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Dynamic Spanning of Contingent Claims
Dynamic Spanning of Contingent Claims In this paper we discuss the link between the price ... Economics, 205-223. Garman, M. (1985). Towards a semi-group pricing theory. Journal of Finance 40, 847- 861 ...- Authors: Hal Warren Pedersen
- Date: Jan 1995
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Publication Name: Actuarial Research Clearing House
- Topics: Finance & Investments>Investment strategy - Finance & Investments; Finance & Investments>Portfolio management - Finance & Investments