Valuing guaranteed minimum accumulation benefits by a change of numéraire approach
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Publication:2670118
DOI10.1016/j.insmatheco.2021.11.002zbMath1484.91387OpenAlexW4200500534MaRDI QIDQ2670118
Rogemar S. Mamon, Yiming Huang, Heng Xiong
Publication date: 10 March 2022
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.11.002
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Hedging longevity risk in defined contribution pension schemes ⋮ Two-phase selection of representative contracts for valuation of large variable annuity portfolios
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