On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 14 (2007)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
APGARCH model; Conditional Esscher transforms; Conditional heteroscedasticity; Default option; Leverage effect; Memoryness; Participating life insurance policies;
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