Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
Year of publication: |
2024
|
---|---|
Authors: | Harcourt, Darcy ; Daglish, Toby ; Ulm, Eric R. |
Published in: |
Insurance : mathematics and economics. - Amsterdam : North Holland Publ. Co., ISSN 0167-6687, ZDB-ID 2010248-3. - Vol. 118.2024, p. 59-71
|
Subject: | Analytic solution | Geometric Brownian motion with affine drift | Guaranteed lifetime withdrawal benefits | Variable annuities | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | CAPM |
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