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Discussion on “Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty”. (English) Zbl 1414.91242

Comment to [Y.-W. Hwang et al., ibid. 19, No. 2, 94–115 (2015; Zbl 1414.91204)].

MSC:

91B30 Risk theory, insurance (MSC2010)

Citations:

Zbl 1414.91204
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References:

[1] Bingham, N. H.; Kiesel, R., Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives., (2013), New York: Springer, New York · Zbl 1058.91029
[2] Gerber, H. U.; Shiu, E. S. W., Option Pricing by Esscher Transforms, Transactions of the Society of Actuaries, 46, 99-140, (1994)
[3] Gerber, H. U.; Shiu, E. S. W., Actuarial Bridges to Dynamic Hedging and Option Pricing, Insurance: Mathematics and Economic, 18, 183-218, (1996) · Zbl 0896.62112
[4] Rutkowski, M., Self-financing Trading Strategies for Sliding, Rolling-horizon, and Consols Bonds, Mathematical Finance, 9, 361-385, (1999) · Zbl 0996.91072
[5] Shiryaev, A. N., Essentials of Stochastic Finance: Facts, Models, Theory, (1999), Singapore: World Scientific, Singapore
[6] Vasicek, O., An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 177-188, (1977) · Zbl 1372.91113
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