Pricing annuity guarantees under a double regime-switching model (Q2347059)

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Pricing annuity guarantees under a double regime-switching model
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    title
    Pricing annuity guarantees under a double regime-switching model (English)
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    author
    Kun Fan
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    Yang Shen
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    Tak Kuen Siu
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    publication date
    26 May 2015
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    zbMATH DE Number
    6439969
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    zbMATH Keywords
    equity-indexed annuity
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    variable annuity
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    regime-switching
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    Esscher transform
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    fast Fourier transform
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