Financial valuation of guaranteed minimum withdrawal benefits

DOI10.1016/j.insmatheco.2005.06.012zbMath1116.91048OpenAlexW2101058764MaRDI QIDQ2507939

Thomas S. Salisbury, Moshe Arye Milevsky

Publication date: 5 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.06.012

zbMATH Keywords

pensionsAsian optionsportfolio insuranceannuitiesput options

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Derivatives

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