Shevchenko, Pavel V.; Luo, Xiaolin - In: Risks : open access journal 4 (2016) 3, pp. 1-31
In this paper, we review pricing of the variable annuity living and death guarantees offered to retail investors in … discuss pricing under the complete/incomplete financial market models, stochastic mortality and optimal … of variable annuity guarantees to assess the accuracy of their numerical implementation. …