Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (Q5234308)
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scientific article; zbMATH DE number 7110431
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method |
scientific article; zbMATH DE number 7110431 |
Statements
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method (English)
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26 September 2019
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variable annuities
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guaranteed minimum withdrawal benefit (GMWB) riders
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stochastic mortality
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stochastic volatility
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stochastic interest rates
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componentwise splitting method
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