Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality (Q5745191)
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scientific article; zbMATH DE number 6880928
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| English | Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality |
scientific article; zbMATH DE number 6880928 |
Statements
FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (English)
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5 June 2018
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guaranteed minimum withdrawal benefits
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variable annuity
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mortality risk
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regime-switching
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Fourier space time-stepping
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0.834817111492157
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0.8329681754112244
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0.8310103416442871
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0.8173086047172546
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