The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework

DOI10.1080/10920277.2019.1703753zbMath1479.91336OpenAlexW3006809263MaRDI QIDQ3385434

Heng Xiong, Yixing Zhao, Rogemar S. Mamon

Publication date: 18 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1703753

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (3)

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Hedging longevity risk in defined contribution pension schemes ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk

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