Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits (Q506067)
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scientific article; zbMATH DE number 6679034
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| English | Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits |
scientific article; zbMATH DE number 6679034 |
Statements
Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits (English)
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31 January 2017
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variable annuity guaranteed benefit
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guaranteed lifetime withdrawal benefit
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risk-neutral valuation
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delta-hedging
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fitting probability density function
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exponential sums
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0.8617506623268127
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0.8502195477485657
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0.8390824794769287
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0.8285104036331177
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0.8192633986473083
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