Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456): Difference between revisions

@@ Property / DOI @@
-.1016/j.insmatheco.2016.06.014
@@ Property / DOI: 10.1016/j.insmatheco.2016.06.014 / rank @@
-Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2016.06.014
+Normal rank
@@ Property / OpenAlex ID @@
+W3124371298
@@ Property / OpenAlex ID: W3124371298 / rank @@
+Normal rank
@@ Property / cites work @@
+A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
+Normal rank
@@ Property / cites work @@
+Affine processes for dynamic mortality and actuarial valuations
+Normal rank
@@ Property / cites work @@
+The fair value of guaranteed annuity options
@@ Property / cites work: The fair value of guaranteed annuity options / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent dynamic affine mortality models for longevity risk applications
+Normal rank
@@ Property / cites work @@
+The effect of modelling parameters on the value of GMWB guarantees
+Normal rank
@@ Property / cites work @@
+Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
+Normal rank
@@ Property / cites work @@
+GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES
+Normal rank
@@ Property / cites work @@
+Passage-time generating functions for continuous-time finite Markov chains
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Q3974816
@@ Property / cites work: Q3974816 / rank @@
+Normal rank
@@ Property / cites work @@
+Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
+Normal rank
@@ Property / cites work @@
+On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
+Normal rank
@@ Property / cites work @@
+A Fourier Transform Method for Spread Option Pricing
+Normal rank
@@ Property / cites work @@
+Fourier space time-stepping for option pricing with Lévy models
+Normal rank
@@ Property / cites work @@
+Closed-form solutions for guaranteed minimum accumulation and death benefits
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Mortality derivatives and the option to annuitise.
+Normal rank
@@ Property / cites work @@
+Financial valuation of guaranteed minimum withdrawal benefits
+Normal rank
@@ Property / cites work @@
+Mortality Regimes and Pricing
@@ Property / cites work: Mortality Regimes and Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Affine stochastic mortality
@@ Property / cites work: Affine stochastic mortality / rank @@
+Normal rank
@@ Property / cites work @@
+Q3102962
@@ Property / cites work: Q3102962 / rank @@
+Normal rank
@@ Property / cites work @@
+Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
+Normal rank
@@ Property / DOI @@
+.1016/J.INSMATHECO.2016.06.014
@@ Property / DOI: 10.1016/J.INSMATHECO.2016.06.014 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2520456