Fair Valuation of Surrender Options in Participating Policies with Stochastic Interest Rate
碩士 === 逢甲大學 === 統計與精算所 === 99 === This paper explores the fair valuation of a participating policy proposed by Bascinello (2003) with surrender options under Vasicek stochastic interest rate models. This paper first proposes a recursive formula to implement the backward computation, which overcomes...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43487198743818918467 |