Now showing items 1-2 of 2

  • Banos, David Ruiz; Sande, Åsmund Hausken; Sgarra, Carlo (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2023)
    The guaranteed minimum maturity benefit (GMMB) is quite a popular feature embedded in several unit-linked policies offered by insurance companies. The value of this benefit depends on several processes assumed to describe ...
  • Banos, David Ruiz; Di Nunno, Giulia; Proske, Frank (Research report / Forskningsrapport, 2013)
    A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...