“Stochastic Annuities,” Daniel Dufresne, January 2007

DOI10.1080/10920277.2007.10597475zbMath1480.91217OpenAlexW2162200162MaRDI QIDQ5019755

Bangwon Ko, Andrew Cheuk-Yin Ng

Publication date: 10 January 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2007.10597475

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Actuarial mathematics (91G05)

Related Items (7)

Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Geometric stopping of a random walk and its applications to valuing equity-linked death benefits ⋮ Valuing equity-linked death benefits in jump diffusion models ⋮ Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality ⋮ Valuing equity-linked death benefits with a threshold expense strategy ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

Cites Work

• A closure characterisation of phase-type distributions
• Unnamed Item

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