Pricing annuity guarantees under a double regime-switching model
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Publication:2347059
DOI10.1016/j.insmatheco.2015.02.005zbMath1318.91111OpenAlexW2062163371MaRDI QIDQ2347059
Yang Shen, Kun Fan, Tak Kuen Siu, Rong-Ming Wang
Publication date: 26 May 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.02.005
Related Items (23)
Impact of volatility clustering on equity indexed annuities ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ ROBUST STABILITY, STABILISATION AND H-INFINITY CONTROL FOR PREMIUM-RESERVE MODELS IN A MARKOVIAN REGIME SWITCHING DISCRETE-TIME FRAMEWORK ⋮ Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices ⋮ Pricing a guaranteed annuity option under correlated and regime-switching risk factors ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Cliquet-style return guarantees in a regime switching Lévy model ⋮ Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model ⋮ Option pricing in regime-switching frameworks with the extended Girsanov principle ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach ⋮ Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model
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