Browsing NHH Brage by Author "Bacinello, Anna Rita"
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Design and pricing of equity-linked life insurance under stochastic interest rates
Bacinello, Anna Rita; Persson, Svein-Arne (Discussion paper, Working paper, 1998-11)A valuation model for equity-linked life insurance contracts incorporating stochastic interest rates is presented. Our model generalizes some previous pricing results based on deterministic interest rates. Moreover, a ...