Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
Year of publication: |
July 2016
|
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Authors: | Shen, Yang ; Sherris, Michael ; Ziveyi, Jonathan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 69.2016, p. 127-137
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Subject: | Variable annuity | Guaranteed minimum maturity benefit | Surrender option | Numerical integration | Hedge ratios | Optionspreistheorie | Option pricing theory | Lebensversicherung | Life insurance | Hedging | Private Altersvorsorge | Private retirement provision |
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