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Geometric Brownian motion
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Insurance: Mathematics and Economics
International journal of theoretical and applied finance
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Analytical calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan
;
Volkmer, Hans W.
- In:
Insurance: Mathematics and Economics
51
(
2012
)
3
,
pp. 636-648
on a stand-alone basis. The techniques for analytical calculations are based on the study of
geometric
Brownian
motion
…
Persistent link: https://www.econbiz.de/10010594509
Saved in:
2
Notes on discrete compound Poisson model with applications to risk theory
Zhang, Huiming
;
Liu, Yunxiao
;
Li, Bo
- In:
Insurance: Mathematics and Economics
59
(
2014
)
C
,
pp. 325-336
Cam’s error bound between the total default and a DCP distribution. Next, we consider
geometric
Brownian
motion
with DCP …
Persistent link: https://www.econbiz.de/10011116645
Saved in:
3
Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers
Chen, Ping
;
Yam, S.C.P.
- In:
Insurance: Mathematics and Economics
53
(
2013
)
3
,
pp. 871-883
(bond or bank account) and a risky asset whose price process is modeled by a
geometric
Brownian
motion
. We investigate the …
Persistent link: https://www.econbiz.de/10010719087
Saved in:
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