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Risk measure and fair valuation of an investment guarantee in life insurance
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Document type | Article de périodique (Journal article) – Article de recherche |
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Access type | Accès restreint |
Publication date | 2005 |
Language | Anglais |
Journal information | "Insurance: Mathematics and Economics" - Vol. 37, p. 297-323 (2005) |
Peer reviewed | yes |
issn | 0167-6687 |
Publication status | Publié |
Affiliations |
Louvain School of Management Louvain School of Management UCL - EUEN/STAT - Institut de statistique |
Keywords | Expected shortfall ; Value at risk ; ALM ; Risk neutral pricing ; Participation rate ; Guaranteed rate |
Links |
Bibliographic reference | Devolder, Pierre ; Barbarin, Jérôme. Risk measure and fair valuation of an investment guarantee in life insurance. In: Insurance: Mathematics and Economics, Vol. 37, p. 297-323 (2005) |
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Permanent URL | http://hdl.handle.net/2078/16934 |