Pages that link to "Item:Q5029071"

The following pages link to Pricing Annuity Guarantees Under a Regime-Switching Model (Q5029071):

Displaying 29 items.

• Semi-static hedging of variable annuities (Q282294) (← links)
• Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
• Pricing and hedging defaultable participating contracts with regime switching and jump risk (Q777938) (← links)
• Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching (Q1644065) (← links)
• Moment matching machine learning methods for risk management of large variable annuity portfolios (Q1657175) (← links)
• An optimal stochastic control framework for determining the cost of hedging of variable annuities (Q1994570) (← links)
• Variable annuities: market incompleteness and policyholder behavior (Q2038222) (← links)
• Option pricing in regime-switching frameworks with the extended Girsanov principle (Q2038228) (← links)
• Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk (Q2104088) (← links)
• Valuation of annuity guarantees under a self-exciting switching jump model (Q2152249) (← links)
• Exact long time behavior of some regime switching stochastic processes (Q2203615) (← links)
• Option pricing under regime-switching models: novel approaches removing path-dependence (Q2421406) (← links)
• A comonotonicity-based valuation method for guaranteed annuity options (Q2448346) (← links)
• Optimal initiation of a GLWB in a variable annuity: no arbitrage approach (Q2513460) (← links)
• Optimal fee structure of variable annuities (Q2665877) (← links)
• Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach (Q3385433) (← links)
• Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162) (← links)
• Hedging Costs for Variable Annuities Under Regime-Switching (Q4562479) (← links)
• Valuing variable annuity guarantees on multiple assets (Q4575460) (← links)
• Mortality regimes and longevity risk in a life annuity portfolio (Q4576922) (← links)
• Equity-linked annuities with multiscale hybrid stochastic and local volatility (Q4576978) (← links)
• Pricing and hedging equity-indexed annuities via local risk-minimization (Q5078428) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• EFFICIENT DYNAMIC HEDGING FOR LARGE VARIABLE ANNUITY PORTFOLIOS WITH MULTIPLE UNDERLYING ASSETS (Q5140085) (← links)
• HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS (Q5210919) (← links)
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios (Q5228140) (← links)
• Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes (Q5379237) (← links)
• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method (Q6049332) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)