Bachelier model with stopping time and its insurance application

Author:

Glazyrina AnnaORCID,Melnikov Alexander

Funder

NSERC, Canada

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference30 articles.

1. Pricing of unit-linked life insurance policies;Aase;Scand. Actuar. J.,1994

2. Representations of the first hitting time density of an Ornstein-Uhlenbeck process;Alili;Stoch. Models,2005

3. Théorie de la spéculation;Bachelier;Ann. Sci. Éc. Norm. Supér.,1900

4. Equilibrium prices of guarantees under equity-linked contracts;Boyle;J. Risk Insurance,1977

5. The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions;Bratyk;Theory Stoch. Process.,2008

Cited by 2 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Proximity of Bachelier and Samuelson Models for Different Metrics;Review of Business and Economics Studies;2021-11-22

2. On modifications of the Bachelier model;Annals of Finance;2021-01-18

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