Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
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Publication:2879033
DOI10.1080/14697688.2013.783287zbMath1403.91201OpenAlexW2045883304MaRDI QIDQ2879033
Filip Uzelac, Alexander Szimayer
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.783287
partial differential equationsinsurance mathematicsnumerical methods for option pricinginsurance related productsbound rationality
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees, An optimal stochastic control framework for determining the cost of hedging of variable annuities
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