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

DOI10.1016/J.CAM.2010.12.003zbMath1229.91358OpenAlexW2052985179MaRDI QIDQ629561

Zhuo Jin, G. George Yin, Yu-Min Wang

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.12.003

zbMATH Keywords

regime switchingquantile hedgingvariable annuitiesMarkov chain approximationGMDBs

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (7)

Hedging Costs for Variable Annuities Under Regime-Switching ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Quantile hedging for guaranteed minimum death benefits
• Nearly-optimal asset allocation in hybrid stock investment models.
• Numerical methods for portfolio selection with bounded constraints
• Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions
• Hybrid switching diffusions. Properties and applications
• Valuation of segregated funds: shout options with maturity extensions.
• Quantile hedging
• Stock Trading: An Optimal Selling Rule
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Discrete-time singularly perturbed Markov chains: aggregation, occupation measures, and switching diffusion limit
• Option pricing under regime switching
• Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching
• A model for stock price fluctuations based on information
• A Regime-Switching Model of Long-Term Stock Returns

This page was built for publication: Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation