Original language | English |
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Pages (from-to) | 369-398 |
Number of pages | 30 |
Journal | Insurance: Mathematics and Economics |
Volume | 35 |
Issue number | 2 |
DOIs | |
Publication status | Published - 11 Oct 2004 |
Externally published | Yes |
Event | 7th International Congress on Insurance - Lyon, France Duration: 25 Jun 2003 → 27 Jun 2003 |
Keywords
- return guarantee
- average rate option
- convexity correction
- LIBOR Market Model
- STOCHASTIC INTEREST-RATES
- LIFE-INSURANCE
- ACTUARIAL SCIENCE
- ASIAN OPTIONS
- COMONOTONICITY
- DERIVATIVES
- SECURITIES
- FINANCE
- MODEL
- SUM