Efficient valuation of a variable annuity contract with a surrender option (Q2300964)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient valuation of a variable annuity contract with a surrender option |
scientific article; zbMATH DE number 7175800
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Efficient valuation of a variable annuity contract with a surrender option |
scientific article; zbMATH DE number 7175800 |
Statements
Efficient valuation of a variable annuity contract with a surrender option (English)
0 references
28 February 2020
0 references
The paper focuses on variable annuty (VA) contracts with a surrender option, and provides a valuation method. After describing the valuation model of a VA contract, the pricing formula is obtained by means of of a Laplace-Carson transform approach. The numerical examples clarify the applied potential of the proposed model and demonstrate its efficiency, also compared to other evaluation schemes.
0 references
variable annuity
0 references
optimal surrender
0 references
Laplace-Carson transform
0 references
numerical Laplace inversion
0 references
0 references
0 references
0.8347786068916321
0 references
0.8293458223342896
0 references
0.8288232684135437
0 references
0.825441300868988
0 references
