The Valuation Analysis of Floating-rate Life Insurance under Stochastic Interest Rates
碩士 === 國立政治大學 === 金融學系 === 106 === This paper provides the fair valuation of a floating-rate life insurance policy embedded with surrender options under Hull and White stochastic interest rate models. This paper proposes a recursive formula to implement the backward computation and a two dimensions...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2018
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/ye9362 |