An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (Q1697208)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6839363
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks |
scientific article; zbMATH DE number 6839363 |
Statements
An efficient algorithm for the valuation of a guaranteed annuity option with correlated financial and mortality risks (English)
0 references
15 February 2018
0 references
comonotonicity
0 references
CIR interest-rate model
0 references
Lee-Carter mortality model
0 references
change of probability measure
0 references
annuity-linked derivatives
0 references
0 references
0 references
0 references
0 references
0 references
0.8739137053489685
0 references
0.8620114922523499
0 references
0.8335758447647095
0 references
0.7904412746429443
0 references
0.7837023735046387
0 references
