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Indifference Pricing of Pure Endowments in a Markov-Modulated Market Model

The dataset used in this paper is a stochastic-factor model for an insurance company with exponential utility preferences.

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Cite this as

Alessandra Cretarola, Benedetta Salterini (2024). Dataset: Indifference Pricing of Pure Endowments in a Markov-Modulated Market Model. https://doi.org/10.57702/v4d06jp1

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Additional Info

Field	Value
Created	December 2, 2024
Last update	December 2, 2024
Defined In	https://doi.org/10.48550/arXiv.2301.13575
Author	Alessandra Cretarola
More Authors	Benedetta Salterini
Homepage	https://doi.org/10.1016/j.insmatheco.2020.07.003