𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model

✍ Scribed by Elijah Brewer III; James M. Carson; Elyas Elyasiani; Iqbal Mansur; William L. Scott

Book ID
109158493
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
520 KB
Volume
74
Category
Article
ISSN
0022-4367

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

093078 (E51) Interest rate risk manageme
093078 (E51) Interest rate risk management: Developments in interest rate term structure modelling for risk management and valuation of interest-rate-dependent cash flows : Ang A., Sherris M., North American Actuarial Journal, Vol. 1, Nr. 2, 1997, pp. 1–26
📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 86 KB

A unit-linked life insurance contract is a contract where the insurance benefits depend on the price of some specific traded stocks. We consider a model describing the uncertainty of the financial market and a portfolio of insured individuals simultaneously. Due to incompleteness the insurance claim