scientific article; zbMATH DE number 5954101

MaRDI QIDQ3172265zbMATH OpenFDO

Authors Ruihua Liu, Q. Zhang

Publication date 5 October 2011

zbMATH Keywords

regime-switchingMonte-Carlo simulationstochastic interest rateguaranteed equity-linked life insuranceoption valuation, bond valuation

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic systems in control theory (general) (93E03)

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Cited in

(13)

• Bayesian Risk Management for Equity-Linked Insurance
• Unterscheidungskriterium Partizipationssatz bei der Aktienindexgebundenen Lebensversicherung
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics
• Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models
• Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• Pricing annuity guarantees under a regime-switching model
• Valuation of contingent guarantees using least-squares Monte Carlo
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Cliquet-style return guarantees in a regime switching Lévy model
• On Fair Valuation of Participating Life Insurance Policies With Regime Switching
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model

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