Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

Published 2015 View Full Article

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Title
Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
Authors
Keywords
Equity-linked death benefits, Binomial and trinomial tree models, Random walk, Geometric stopping, Esscher transform
Journal
INSURANCE MATHEMATICS & ECONOMICS
Volume 64, Issue -, Pages 313-325
Publisher
Elsevier BV
Online
2015-07-11
DOI
10.1016/j.insmatheco.2015.06.006

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