Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

A. van Haastrecht, R. Lord, A Pelsser, D. Schrager

Research output: Contribution to Journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	436-448
Journal	Insurance Mathematics & Economics
Volume	45
DOIs	https://doi.org/10.1016/j.insmatheco.2009.09.003
Publication status	Published - 2009

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title = "Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility",

author = "{van Haastrecht}, A. and R. Lord and A Pelsser and D. Schrager",

year = "2009",

doi = "10.1016/j.insmatheco.2009.09.003",

language = "English",

volume = "45",

pages = "436--448",

journal = "Insurance Mathematics & Economics",

issn = "0167-6687",

publisher = "Elsevier",

}

TY - JOUR

T1 - Pricing long-dated insurance contracts with stochastic interest rates and stochastic volatility

AU - van Haastrecht, A.

AU - Lord, R.

AU - Pelsser, A

AU - Schrager, D.

PY - 2009

Y1 - 2009

U2 - 10.1016/j.insmatheco.2009.09.003

DO - 10.1016/j.insmatheco.2009.09.003

M3 - Article

VL - 45

SP - 436

EP - 448

JO - Insurance Mathematics & Economics

JF - Insurance Mathematics & Economics

SN - 0167-6687

ER -