Valuing guaranteed equity-linked contracts by Laguerre series expansion
From MaRDI portal
Publication:2424940
DOI10.1016/j.cam.2019.02.032zbMath1417.91289MaRDI QIDQ2424940
Publication date: 25 June 2019
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.2019.02.032
guaranteed minimum death benefits; Laguerre series expansion; equity-linked death benefits; discounted density approach
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Finite Mixture Approximation of CARMA(p,q) Models, The strong convergence and stability of explicit approximations for nonlinear stochastic delay differential equations, Pricing some life-contingent lookback options under regime-switching Lévy models, Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model, Equity-linked guaranteed minimum death benefits with dollar cost averaging, Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model, Valuing equity-linked death benefits in general exponential Lévy models, First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
Cites Work
- Unnamed Item
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Estimating the Gerber-Shiu function in a Lévy risk model by Laguerre series expansion
- Estimating the Gerber-Shiu function in the perturbed compound Poisson model by Laguerre series expansion
- Valuing equity-linked death benefits in jump diffusion models
- Adaptive Laguerre density estimation for mixed Poisson models
- Comparison and bounds for functionals of future lifetimes consistent with life tables
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- What is a Sobolev space for the Laguerre function systems?
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Stationary distributions for fluid flow models with or without brownian noise
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
- A new efficient method for estimating the Gerber–Shiu function in the classical risk model
- Stochastic Life Annuities
- Fitting combinations of exponentials to probability distributions
