Fourier based methods for the management of complex life insurance products

DOI10.1016/J.INSMATHECO.2021.08.009zbMATH Open1475.91283OpenAlexW3192980909MaRDI QIDQ2665862FDOQ2665862

Authors: Laura Ballotta, Ernst Eberlein, Thorsten Schmidt, Raghid Zeineddine 

Publication date: 19 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.08.009

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zbMATH Keywords

hybrid modelsvariable annuitiesstructured productsFourier transformsLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Cites Work

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Cited In (2)

• Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
• The 3-step hedge-based valuation: fair valuation in the presence of systematic risks

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