Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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Publication:2104088
DOI10.1016/J.CAM.2022.114914OpenAlexW4307818434MaRDI QIDQ2104088FDOQ2104088
Authors: Yanyan Li 
Publication date: 9 December 2022
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2022.114914
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- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
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- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Quantile hedging for guaranteed minimum death benefits with regime switching
Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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Cited In (10)
- Valuation of variable annuities under stochastic volatility and stochastic jump intensity
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Efficient valuation of a variable annuity contract with a surrender option
- A Comparative Study of Risk Measures for Guaranteed Minimum Maturity Benefits by a PDE Method
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- The bilateral Gamma motion: calibration and option pricing
- Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models
- Optimal surrender policy of guaranteed minimum maturity benefits in variable annuities with regime-switching volatility
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk
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