Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
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Publication:2097450
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- scientific article; zbMATH DE number 5954101
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Cites work
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- AMERICAN OPTIONS WITH REGIME SWITCHING
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- Equity-linked guaranteed minimum death benefits with dollar cost averaging
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- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- On a dual model with a dividend threshold
- Pricing and hedging of variable annuities with state-dependent fees
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
- Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- State-dependent fees for variable annuity guarantees
- The compound Poisson risk model with multiple thresholds
- The time of deducting fees for variable annuities under the state-dependent fee structure
- Two-dimensional Fourier cosine series expansion method for pricing financial options
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing guaranteed equity-linked contracts by Laguerre series expansion
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
Cited in
(5)- Valuing equity-linked death benefits in jump diffusion models
- Valuing equity-linked death benefits with a threshold expense strategy
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
- Valuing equity-linked annuities under high-water mark fee structure
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