Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:25, 5 March 2024
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)
0 references
13 December 2016
0 references
variable annuity
0 references
guaranteed minimum benefits (GMB)
0 references
Fourier space time-stepping (FST) algorithm
0 references
mortality risk
0 references
interest rate risk
0 references
