Market value of life insurance contracts under stochastic interest rates and default risk
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference24 articles.
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3. On the risk of life insurance liabilities: debunking some common pitfalls;Briys;J. Risk Insurance,1997
4. Valuing risky fixed rate debt: an extension;Briys;J. Financ. Quantitat. Anal.,1997
5. Do credit spreads reflect stationary leverage ratios?;Collin-Dufresne;J. Financ.,2001
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3. Valuation of mixed life insurance contracts under stochastic correlated mortality and interest rates;European Actuarial Journal;2023-06-23
4. A lattice approach to evaluate participating policies in a stochastic interest rate framework;Journal of Computational and Applied Mathematics;2021-03
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