Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
DOI10.1007/S10436-013-0239-0zbMATH Open1298.91096OpenAlexW2072012402MaRDI QIDQ470735FDOQ470735
Publication date: 13 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-013-0239-0
Esscher transformpricing and risk managementregime switching variance gammaruin contingent life annuity
Processes with independent increments; Lévy processes (60G51) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)
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Cited In (4)
- Optimal divestment time in supply chain redesign under oligopoly: evidence from shale oil production plants
- Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Title not available (Why is that?)
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