Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
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Publication:2155842
DOI10.1016/j.insmatheco.2022.03.012zbMath1492.91303OpenAlexW4220905219WikidataQ114167215 ScholiaQ114167215MaRDI QIDQ2155842
Dan Zhu, Jonathan Ziveyi, Yang Shen, Boda Kang
Publication date: 15 July 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.03.012
Related Items (9)
Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Valuation of general GMWB annuities in a low interest rate environment ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ 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 ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
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