Valuing equity-linked death benefits in jump diffusion models
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Recommendations
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Cites work
- scientific article; zbMATH DE number 1995723 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 3364606 (Why is no real title available?)
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- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- “Stochastic Annuities,” Daniel Dufresne, January 2007
Cited in
(37)- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- An overview of exact solution methods for guaranteed minimum death benefit options in variable annuities
- Randomization and the valuation of guaranteed minimum death benefits
- Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
- Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
- Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
- Variable annuity pricing, valuation, and risk management: a survey
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Impact of volatility clustering on equity indexed annuities
- Closed-form solutions for guaranteed minimum accumulation and death benefits
- Pricing dynamic fund protections with regime switching
- Valuing equity-linked death benefits with a threshold expense strategy
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Occupation times of hyper-exponential jump diffusion processes with application to price step options
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Super-replication of life-contingent options under the Black-Scholes framework
- Valuation of cliquet-style guarantees with death benefits
- Analytic valuation of GMDB options with utility based asset allocation
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Valuing equity-linked death benefits in a regime-switching framework
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Pricing dynamic fund protections for a hyperexponential jump diffusion process
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- A factorization of a Lévy process over a phase-type horizon
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Valuing equity-linked annuities under high-water mark fee structure
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