In the practical part, Chapter 4 considers numerical methods for indifference pricing in a stochastic volatility model. In Chapter 5, a feasible procedure is developed for calculating the CVaR price in unit-linked insurance products under an additional assumption. This assumption is relaxed in Chapter 6.
|Qualification||Doctor of Philosophy|
|Award date||8 May 2009|
|Place of Publication||Tilburg|
|Publication status||Published - 2009|