Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
Revision as of 05:54, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Variable annuity with a surrender option under multiscale stochastic volatility |
scientific article |
Statements
Variable annuity with a surrender option under multiscale stochastic volatility (English)
0 references
17 January 2023
0 references
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.
0 references
multiscale stochastic volatility
0 references
variable annuity
0 references
surrender option
0 references
fair insurance fee
0 references
