Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (Q2155842)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method |
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Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method (English)
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15 July 2022
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variable annuity contracts
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GMMB
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COS method
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generalised regime-switching model
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ratchet options
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