A Finite Difference Approach to the Valuation of Path Dependent Life Insurance Liabilities

• 1 June 2001
• journal article
• Published by Springer Nature in The Geneva Risk and Insurance Review
• Vol. 26  (1) , 57-84
• https://doi.org/10.1023/a:1011264408187

Abstract

Keywords

• FINITE DIFFERENCE APPROACH
• CONTINGENT CLAIM VALUATION
• EMBEDDED OPTIONS
• PARTICIPATING LIFE INSURANCE POLICIES
• NUMERICAL SOLUTION
• INTEREST RATE
• FINITE DIFFERENCE

All Related Versions

• Version 1, 2001-01-01, RePEc (Unconfirmed version)