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Article: Valuing equity-linked death benefits in jump diffusion models
Title | Valuing equity-linked death benefits in jump diffusion models |
---|---|
Authors | |
Keywords | Barrier options Equity-linked death benefits Exponential stopping Jump diffusion Variable annuities |
Issue Date | 2013 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime |
Citation | Insurance: Mathematics and Economics, 2013, v. 53 n. 3, p. 615-623 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/198096 |
ISSN | 2021 Impact Factor: 2.168 2020 SCImago Journal Rankings: 1.139 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Gerber, HU | en_US |
dc.contributor.author | Shiu, ESW | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2014-06-25T02:47:07Z | - |
dc.date.available | 2014-06-25T02:47:07Z | - |
dc.date.issued | 2013 | en_US |
dc.identifier.citation | Insurance: Mathematics and Economics, 2013, v. 53 n. 3, p. 615-623 | en_US |
dc.identifier.issn | 0167-6687 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/198096 | - |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime | en_US |
dc.relation.ispartof | Insurance: Mathematics and Economics | en_US |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in Insurance: Mathematics and Economics. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Insurance: Mathematics and Economics, 2013, v. 53 n. 3, p. 615-623. DOI: 10.1016/j.insmatheco.2013.08.010 | en_US |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Barrier options | - |
dc.subject | Equity-linked death benefits | - |
dc.subject | Exponential stopping | - |
dc.subject | Jump diffusion | - |
dc.subject | Variable annuities | - |
dc.title | Valuing equity-linked death benefits in jump diffusion models | en_US |
dc.type | Article | en_US |
dc.identifier.email | Gerber, HU: hans1196@hku.hk | en_US |
dc.identifier.email | Yang, H: hlyang@hkusua.hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.insmatheco.2013.08.010 | en_US |
dc.identifier.scopus | eid_2-s2.0-84884402153 | - |
dc.identifier.hkuros | 229397 | en_US |
dc.identifier.volume | 53 | en_US |
dc.identifier.spage | 615 | en_US |
dc.identifier.epage | 623 | en_US |
dc.identifier.isi | WOS:000328659700012 | - |
dc.publisher.place | Netherlands | en_US |
dc.identifier.issnl | 0167-6687 | - |