On Valuing Participating Life Insurance Contracts with Conditional Heteroscedasticity

Tak Kuen Siu, John Lau () and Hailiang Yang ()

Asia-Pacific Financial Markets, 2007, vol. 14, issue 3, 255-275

Keywords: APGARCH model; Conditional Esscher transforms; Conditional heteroscedasticity; Default option; Leverage effect; Memoryness; Participating life insurance policies (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10690-007-9062-9

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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