Valuing guaranteed equity-linked contracts by Laguerre series expansion
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Publication:2424940
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Cites work
- A new efficient method for estimating the Gerber-Shiu function in the classical risk model
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- Adaptive Laguerre density estimation for mixed Poisson models
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Comparison and bounds for functionals of future lifetimes consistent with life tables
- 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
- Fitting combinations of exponentials to probability distributions
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Stationary distributions for fluid flow models with or without brownian noise
- Stochastic life annuities
- Valuing equity-linked death benefits and other contingent options: a discounted density approach
- Valuing equity-linked death benefits in a regime-switching framework
- Valuing equity-linked death benefits in jump diffusion models
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- What is a Sobolev space for the Laguerre function systems?
Cited in
(20)- 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
- Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
- First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits
- Finite mixture approximation of CARMA(p,q) models
- Valuing guaranteed minimum death benefits by complex Fourier series expansion
- Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees
- Generalized Bernoulli-Laguerre polynomials: applications in coupled nonlinear system of variable-order fractional PDEs
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Randomization and the valuation of guaranteed minimum death benefits
- Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees
- Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
- Approximating the dynamic VaR risk measure in ruin theory
- Efficient valuation of joint life variable annuities with guaranteed minimum death benefits
- Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models
- Designing and valuing new equity-linked insurance products for couples
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