Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate (Q2404547)
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scientific article; zbMATH DE number 6776001
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| English | Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate |
scientific article; zbMATH DE number 6776001 |
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Valuation of variable annuities with guaranteed minimum withdrawal benefit under stochastic interest rate (English)
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19 September 2017
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variable annuity
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living and death benefits
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stochastic interest rate
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optimal stochastic control
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Guaranteed Minimum Withdrawal Benefit
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Gauss-Hermite quadrature
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0.8927619457244873
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0.8781208992004395
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0.8440784215927124
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0.831626296043396
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0.8302320837974548
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