Fourier based methods for the management of complex life insurance products
From MaRDI portal
Publication:2665862
DOI10.1016/j.insmatheco.2021.08.009zbMath1475.91283OpenAlexW3192980909MaRDI QIDQ2665862
Ernst Eberlein, Thorsten Schmidt, Laura Ballotta, 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
Related Items
Cites Work
- Unnamed Item
- Pricing exotic derivatives exploiting structure
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- Intensity-based framework for surrender modeling in life insurance
- Affine processes for dynamic mortality and actuarial valuations
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results
- Mortality derivatives and the option to annuitise.
- Fair valuation of path-dependent participating life insurance contracts.
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- Lévy term structure models: no-arbitrage and completeness
- Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
- Integrated structural approach to credit value adjustment
- Pricing variable annuity guarantees in a local volatility framework
- From deterministic to stochastic surrender risk models: impact of correlation crises on economic capital
- On the (in-)dependence between financial and actuarial risks
- Pricing of Ratchet equity-indexed annuities under stochastic interest rates
- Income drawdown option with minimum guarantee
- A Lévy process-based framework for the fair valuation of participating life insurance contracts
- Term Structure Models Driven by General Levy Processes
- Analysis of Fourier Transform Valuation Formulas and Applications
- Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model
- Regression-based algorithms for life insurance contracts with surrender guarantees
- Efficient Pricing of Ratchet Equity-Indexed Annuities in a Variance-Gamma Economy
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
- On the Effects of Dimension Reduction Techniques on Some High-Dimensional Problems in Finance
- A General Framework for Pricing Asian Options Under Markov Processes
- Pricing and capital requirements for with profit contracts: modelling considerations
- Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
- The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
- ON SURRENDER AND DEFAULT RISKS
- Variable annuities in a Lévy-based hybrid model with surrender risk
- Mathematical Finance
- Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
- Exact Simulation of the SABR Model
- Valuation of Equity-Indexed Annuities Under Stochastic Interest Rates
- Hybrid Lévy Models: Design and Computational Aspects