Equity-linked guaranteed minimum death benefits with dollar cost averaging
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Publication:2234775
DOI10.1016/j.insmatheco.2021.04.012zbMath1471.91465OpenAlexW3159956631MaRDI QIDQ2234775
Publication date: 19 October 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.04.012
annuityguaranteed minimum death benefitvariable annuityLévyGMDBequity-linkeddollar cost averagingGMxB
Related Items
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ 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 ⋮ Risk-neutral valuation of GLWB riders in variable annuities ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Valuation of variable annuities under stochastic volatility and stochastic jump intensity ⋮ WITHDRAWAL SUCCESS ESTIMATION ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuation of cliquet-style guarantees with death benefits ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
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