Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

François Quittard-Pinon; Rivo Randrianarivony

doi:10.1057/grir.2010.5

Journal articles

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

François Quittard-Pinon ¹ Rivo Randrianarivony ²

1 emlyon business school

2 NIMEC - Normandie Innovation Marché Entreprise Consommation

Document type :

Journal articles

Domain :

Quantitative Finance [q-fin] / Computational Finance [q-fin.CP]

Quantitative Finance [q-fin] / General Finance [q-fin.GN]

Quantitative Finance [q-fin] / Pricing of Securities [q-fin.PR]

Quantitative Finance [q-fin]

Computer Science [cs] / Modeling and Simulation

Mathematics [math] / Probability [math.PR]

Complete list of metadatas

https://hal-normandie-univ.archives-ouvertes.fr/hal-02358451
Contributor : Rivo Randrianarivony <>
Submitted on : Monday, November 11, 2019 - 11:06:24 PM
Last modification on : Thursday, March 5, 2020 - 3:32:16 PM

Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

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Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts

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