Efficient valuation of a variable annuity contract with a surrender option (Q2300964): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient valuation of a variable annuity contract with a surrender option |
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Efficient valuation of a variable annuity contract with a surrender option (English)
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28 February 2020
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The paper focuses on variable annuty (VA) contracts with a surrender option, and provides a valuation method. After describing the valuation model of a VA contract, the pricing formula is obtained by means of of a Laplace-Carson transform approach. The numerical examples clarify the applied potential of the proposed model and demonstrate its efficiency, also compared to other evaluation schemes.
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variable annuity
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optimal surrender
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Laplace-Carson transform
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numerical Laplace inversion
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