H. Huang is Professor of Mathematics and Statistics at York University. M. A. Milevsky is Associate Professor of Finance, York UniversityH. Huang is Professor of Mathematics and Statistics at York University. M. A. Milevsky is Associate Professor of Finance, York University, and Executive Director of the IFID Centre. T. S. Salisbury is Professor of Mathematics and Statistics at York University, all in Toronto, Canada. The second author can be contacted via e-mail: firstname.lastname@example.org. The authors acknowledge the helpful comments from a JRI referee, as well as from seminar participants at the Department of Risk Management and Insurance at The Wharton School, seminar participants at Monash University, Melbourne, The University of New South Wales, and the University of Technology, Sydney. In particular the authors would like to acknowledge helpful comments from Carl Chiarella, Neil Doherty, Olivia Mitchell, and Eckhard Platen. Huang's and Salisbury's research is supported in part by NSERC and MITACS.
Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA)
Version of Record online: 10 APR 2013
© The Journal of Risk and Insurance, 2013
Journal of Risk and Insurance
Volume 81, Issue 2, pages 367–395, June 2014
How to Cite
Huang, H., Milevsky, M. A. and Salisbury, T. S. (2014), Valuation and Hedging of the Ruin-Contingent Life Annuity (RCLA). Journal of Risk and Insurance, 81: 367–395. doi: 10.1111/j.1539-6975.2012.01509.x
- Issue online: 16 MAY 2014
- Version of Record online: 10 APR 2013
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