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

Article Dans Une Revue Geneva Risk and Insurance Review Année : 2011

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

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François Quittard-Pinon

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EMLyon Business School

Rivo Randrianarivony

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PersonId : 12959
IdHAL : rivo-randrianarivony
ORCID : 0009-0007-1643-3061
IdRef : 147342422

Normandie Innovation Marché Entreprise Consommation

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Finance quantitative [q-fin.CP] Finance [q-fin.GN] Pricing [q-fin.PR] Économie et finance quantitative [q-fin] Modélisation et simulation Probabilités [math.PR]

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https://normandie-univ.hal.science/hal-02358451

Soumis le : lundi 11 novembre 2019-23:06:24

Dernière modification le : jeudi 14 mars 2024-03:13:02

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hal-02358451 , version 1 (11-11-2019)

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HAL Id : hal-02358451 , version 1
DOI : 10.1057/grir.2010.5

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François Quittard-Pinon, Rivo Randrianarivony. Impacts of Jumps and Stochastic Interest Rates on the Fair Costs of Guaranteed Minimum Death Benefit Contracts. Geneva Risk and Insurance Review, 2011, 36 (1), pp.51-73. ⟨10.1057/grir.2010.5⟩. ⟨hal-02358451⟩

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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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