Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634)
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scientific article; zbMATH DE number 6474315
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| English | Mortality modelling with regime-switching for the valuation of a guaranteed annuity option |
scientific article; zbMATH DE number 6474315 |
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Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (English)
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20 August 2015
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Gompertz model
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Markov chain
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change of probability measure
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filtering
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exponential matrix
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0.841528058052063
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0.8256910443305969
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0.8193872570991516
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0.7978502511978149
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0.79766845703125
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