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Analytical approximations for prices of swap rate dependent embedded options in insurance products
R. Plat; A. Pelsser
Embedded optionsInsurance productsAnalytical approximationGaussian interest rate modelFair Value of Liabilities
journal
Insurance: Mathematics and Economics
Copyright © 2008 Elsevier B.V. All rights reserved.
Elsevier B.V.
0167-6687
44
1
February 2009
Insurance: Mathematics and Economics
124-134
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10.1016/j.insmatheco.2008.11.003
http://dx.doi.org/10.1016/j.insmatheco.2008.11.003
doi:10.1016/j.insmatheco.2008.11.003
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