Pricing annuity guarantees under a double regime-switching model
Year of publication: |
2015
|
---|---|
Authors: | Fan, Kun ; Shen, Yang ; Siu, Tak Kuen ; Wang, Rongming |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 62-78
|
Subject: | Equity-indexed annuity | Variable annuity | Regime-switching | Esscher transform | Fast Fourier transform | Private Altersvorsorge | Private retirement provision | Markov-Kette | Markov chain | Lebensversicherung | Life insurance | Altersvorsorge | Retirement provision | Optionspreistheorie | Option pricing theory | Finanzmathematik | Mathematical finance |
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