Valuing equity-linked death benefits and other contingent options: a discounted density approach
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Publication:2444708
Recommendations
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Cited in
(50)- Valuing equity-indexed annuities with icicled barrier options
- The Omega model: from bankruptcy to occupation times in the red
- Valuing equity-linked death benefits in jump diffusion models
- Application of data clustering and machine learning in variable annuity valuation
- 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
- Pricing two-asset alternating barrier options with icicles and their variations
- 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
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- Valuing equity-linked death benefits in general exponential Lévy models
- Valuing equity-linked death benefits with a threshold expense strategy
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- Analytic Solution for Return of Premium and Rollup Guaranteed Minimum Death Benefit Options Under Some Simple Mortality Laws
- Probabilistic valuation of certain unit-linked contracts
- Valuing equity-linked death benefits in a regime-switching framework
- Lévy insurance risk process with Poissonian taxation
- Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
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- Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution
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- Pricing guaranteed minimum death benefits with dollar cost averaging under time-changed Lévy models
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- Designing and valuing new equity-linked insurance products for couples
- Valuing guaranteed minimum death benefits by complex Fourier series expansion
- Guaranteed minimum income benefit valuation via a numéraire transformation approach
- Pricing dynamic fund protections with regime switching
- A note on order statistics in the mixed Erlang case
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