Lognormal Approximation of Complex Pathdependent Pension Scheme Payoffs
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- Peter Løchte Jørgensen, 2007. "Lognormal Approximation of Complex Path-Dependent Pension Scheme Payoffs," The European Journal of Finance, Taylor & Francis Journals, vol. 13(7), pages 595-619.
- Jørgensen, Peter Løchte, 2006. "Lognormal Approximation of Complex Path-dependent Pension Scheme Payoffs," Finance Research Group Working Papers F-2006-09, University of Aarhus, Aarhus School of Business, Department of Business Studies.
References listed on IDEAS
- Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Boyle, Phelim P. & Hardy, Mary R., 1997. "Reserving for maturity guarantees: Two approaches," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 113-127, November.
- Guillen, Montserrat & Jorgensen, Peter Lochte & Nielsen, Jens Perch, 2006. "Return smoothing mechanisms in life and pension insurance: Path-dependent contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 229-252, April.
- Asbjørn T. Hansen & Peter Løchte Jørgensen, 2000. "Analytical Valuation of American-Style Asian Options," Management Science, INFORMS, vol. 46(8), pages 1116-1136, August.
- Grosen, Anders & J Rgensen, Peter L Chte, 2002. "The bonus-crediting mechanism of Danish pension and life insurance companies: an empirical analysis," Journal of Pension Economics and Finance, Cambridge University Press, vol. 1(03), pages 249-268, November.
More about this item
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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