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Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita"
[From Reserves to Options: " The partecipation to the profit in insurance life policies"]

Author

Listed:
  • Giandomenico, Rossano

Abstract

The thesis develops the option pricing model with interest rate model in stochastic environment by analyzing insurance field in asset liability management context and regulatory puorpose from the management prospective.

Suggested Citation

  • Giandomenico, Rossano, 2003. "Dalle Riserve alle Opzioni: " La partecipazione agli utili nelle polizze vita" [From Reserves to Options: " The partecipation to the profit in insurance life policies"]," MPRA Paper 20783, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:20783
    as

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    File URL: https://mpra.ub.uni-muenchen.de/21243/1/MPRA_paper_21243.pdf
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    References listed on IDEAS

    as
    1. Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(4), pages 627-650, November.
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    More about this item

    Keywords

    Contingent Claim; Duration; Immunization; Stochastic continuous process;
    All these keywords.

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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