23, av. Guy de Collongue
69134 Ecully Cedex
EM Lyon (Ecole de Management de Lyon) - Department of Economics, Finance, Control
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Change of Numéraire, HJM model, Barrier Option, Markovian Approximation
Cumulative Default Probability, Structural Model, Jump-Diffusion, Endogenous Capital Structure, Esscher Transform, Kou Processes
Participating Life Insurance Policies, Kou Processes, Jump-Diffusion, Early Default, Fair Value
Optimal Capital Structure, Default Risk, Stable Processes, Credit Spreads
Participating Contracts, Safety Loading, Default Risk, Interest Rate Risk, Market Value, Fair Value Principle, Premium Principle, Equity Default Swap
Value-at-Risk, Lévy Processes, Variance Gamma Processes, Fourier Transform, Basle 2, Solvency 2
Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Dubins-Schwarz theorem
Regime-switching model, Markov chain, Lévy process
Surrender risk, default risk, interest rate risk, Cox process, participating policies
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surrender risk, default risk, interest rate risk, Cox process, participating policies
Executive stock options, Parisian options, Optimal compensation
Net Asset Value, Solvency Capital Requirement, Solvency 2, Least-Squares Monte Carlo, Order Statistics, Participating Contract
Downside Risk Aversion, Background Risk, Risk Vulnerability
Optimal Portfolio, Pension Fund, Lévy process, Stochastic Exponential
Tempered multistable process, non-stationarity, dependence, asymmetry, kurtosis, VaR, characteristic function
Credibility, Quadratic Approximation. Parametric, Non-Parametric, Semi-Parametric, Poisson-Gamma, Poisson-Single Pareto, Uniform Exposure
Participating Life Insurance Policies, Contingent Claims Valuation, Default Risk, Stochastic Interest Rates, Fortet’s Equation
Participating Contracts, CPPI, Equity Default Swap, Market Valuation
Insurance business, finite and infinite-time bankruptcy
Credit Spread, Risk Premium Adjustment Factor, Solvency Capital Requirement, General Pareto Distribution, Market Consistency, Rating Transition, Credit Benchmarking, Constant Position
Health, Weath, Diffidence Theorem, Indices, Correlation Aversion, Cross Prudence
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