Valuing variable annuity guarantees with the multivariate Esscher transform (Q654817)
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scientific article; zbMATH DE number 5991250
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| English | Valuing variable annuity guarantees with the multivariate Esscher transform |
scientific article; zbMATH DE number 5991250 |
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Valuing variable annuity guarantees with the multivariate Esscher transform (English)
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21 December 2011
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minimum entropy
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incomplete market
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quanto
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regime-switching
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0.8560004830360413
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0.835965633392334
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0.8311557769775391
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0.8047136068344116
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0.7964040040969849
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