Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (Q6098033)
From MaRDI portal
scientific article; zbMATH DE number 7693560
Language | Label | Description | Also known as |
---|---|---|---|
English | Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models |
scientific article; zbMATH DE number 7693560 |
Statements
Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models (English)
0 references
9 June 2023
0 references
variable annuities
0 references
regime-switching Lévy model
0 references
dynamic programming
0 references
Fourier cosine series expansion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references