Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality |
scientific article |
Statements
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (English)
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13 December 2016
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variable annuity
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guaranteed minimum benefits (GMB)
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Fourier space time-stepping (FST) algorithm
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mortality risk
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interest rate risk
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