Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method (Q6058844): Difference between revisions

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scientific article; zbMATH DE number 7759022

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English	Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method	scientific article; zbMATH DE number 7759022

Statements

instance of

scholarly article

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title

Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method (English)

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author

Yayun Wang

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published in

Journal of Mathematical Analysis and Applications

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publication date

1 November 2023

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zbMATH Keywords

pricing

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regime switching Lévy model

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GMDB

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complex Fourier series method

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmaa.2023.127666

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cites work

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

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Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model

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Early default risk and surrender risk: impacts on participating life insurance policies

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A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps

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VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

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A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions

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Pricing annuity guarantees under a double regime-switching model

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A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model

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Markov Switching Models in Empirical Finance

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Q2905953

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Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method

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Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method

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Estimation of state-space models with endogenous Markov regime-switching parameters

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Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees

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Equity-linked guaranteed minimum death benefits with dollar cost averaging

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A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

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Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes

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The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees

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Valuation of life insurance surrender and exchange options

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Intensity-based framework for surrender modeling in life insurance

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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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Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

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Optimal surrender strategies for equity-indexed annuity investors with partial information

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Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model

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Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

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Valuing equity-linked death benefits with a threshold expense strategy

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Identifiers

zbMATH Open document ID

1527.91145

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Mathematics Subject Classification ID

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10.1016/J.JMAA.2023.127666

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Sitelinks

Mathematics(1 entry)

mardi Publication:6058844

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