Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
Year of publication: |
2023
|
---|---|
Authors: | Ai, Meiqiao ; Zhang, Zhimin ; Zhu, Dan |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2023.2023, 4, p. 330-358
|
Subject: | dynamic programming | Fourier cosine series expansion | regime-switching Lévy model | Variable annuities | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Finanzmathematik | Mathematical finance |
-
Max-min optimization problem for variable annuities pricing
Blanchet-Scalliet, Christophette, (2015)
-
Risk management of variable annuities
Ruez, Frederik, (2017)
-
Taxation of a GMWB variable annuity in a stochastic interest rate model
Molent, Andrea, (2020)
- More ...
-
Valuation of variable annuities with guaranteed minimummaturity benefits and periodic fees
Ai, Meiqiao, (2023)
-
Valuation of variable annuities under stochastic volatility and stochastic jump intensity
Zhong, Wei, (2023)
-
Shimizu, Yasutaka, (2019)
- More ...