A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Year of publication: |
September 2016
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Authors: | Shevchenko, Pavel V. ; Luo, Xiaolin |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 4.2016, 3, p. 1-31
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Subject: | variable annuity | guaranteed living and death benefits | guaranteed minimum accumulation benefit | optimal stochastic control | direct integration method | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Kontrolltheorie | Control theory | Private Altersvorsorge | Private retirement provision | Portfolio-Management | Portfolio selection | Sterblichkeit | Mortality | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks4030022 [DOI] hdl:10419/167890 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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