Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544): Difference between revisions

A system of three stochastic differential equations used to model the fair insurance fee is studied. Using perturbation techniques an asymptotic solution is determined. Comparison with simulation-based results is given.

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reviewed by

Piotr Biler

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zbMATH Keywords

multiscale stochastic volatility

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variable annuity

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surrender option

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fair insurance fee

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s13160-022-00510-5

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cites work

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VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS

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Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies

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Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates

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Q3378055

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Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options

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Fair valuation of participating policies with surrender options and regime switching

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Operators associated with the Hermite semigroup - a survey

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Valuation of guaranteed annuity options using a stochastic volatility model for equity prices

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Lookback options and dynamic fund protection under multiscale stochastic volatility

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Identifiers

zbMATH Open document ID

1506.35245

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Mathematics Subject Classification ID

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10.1007/S13160-022-00510-5

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Sitelinks

Mathematics(1 entry)

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