A comonotonicity-based valuation method for guaranteed annuity options (Q2448346)
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scientific article; zbMATH DE number 6290744
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A comonotonicity-based valuation method for guaranteed annuity options |
scientific article; zbMATH DE number 6290744 |
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A comonotonicity-based valuation method for guaranteed annuity options (English)
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30 April 2014
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comonotonicity
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interest rate risk
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mortality risk
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numéraire change
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guaranteed annuity option (GAO)
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annuity-linked derivatives
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0.9178244
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0.8929322
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0.88876307
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0.87149143
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0.8710283
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0.8705506
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0.8584028
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0.85794604
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0.85504454
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