Pricing annuity guarantees under a regime-switching model
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- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
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- scientific article; zbMATH DE number 2243787 (Why is no real title available?)
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Cited in
(44)- Pricing credit default swaps with bilateral counterparty risk in a reduced form model with Markov regime switching
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Pricing variable annuity guarantees in a local volatility framework
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- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk
- Valuation of annuity guarantees under a self-exciting switching jump model
- Exact long time behavior of some regime switching stochastic processes
- Risk-minimizing hedging strategy for an equity-indexed annuity under a regime switching model
- Pricing annuity guarantees under a double regime-switching model
- Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
- Option pricing under regime-switching models: novel approaches removing path-dependence
- A comonotonicity-based valuation method for guaranteed annuity options
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Optimal fee structure of variable annuities
- Semi-static hedging of variable annuities
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Hedging costs for variable annuities under regime-switching
- Valuing variable annuity guarantees on multiple assets
- Mortality regimes and longevity risk in a life annuity portfolio
- Equity-linked annuities with multiscale hybrid stochastic and local volatility
- Long guarantees with short duration: the rolling annuity
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Immediate Annuity Pricing in the Presence of Unobserved Heterogeneity
- Cliquet-style return guarantees in a regime switching Lévy model
- Pricing and hedging equity-indexed annuities via local risk-minimization
- A generalized Esscher transform for option valuation with regime switching risk
- Efficient dynamic hedging for large variable annuity portfolios with multiple underlying assets
- An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- Pricing ratchet equity index annuity with mortality risk by complex Fourier series method
- European option pricing with market frictions, regime switches and model uncertainty
- Valuing variable annuity guarantees with the multivariate Esscher transform
- Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
- Evaluation of participating endowment life insurance policies in a stochastic environment
- Dimension reduction for quasi-Monte Carlo methods via quadratic regression
- Pricing and hedging defaultable participating contracts with regime switching and jump risk
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