Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps

DOI10.1016/j.insmatheco.2017.02.010zbMath1394.91206OpenAlexW2593375606MaRDI QIDQ2397852

Yanyan Li

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.010

zbMATH Keywords

stochastic volatilitylife insuranceregime-switchingjump diffusioncliquet-style guaranteeequity-linked annuity

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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