“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009

DOI10.1080/10920277.2009.10597558MaRDI QIDQ5029072zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Tak Kuen Siu

Publication date 11 February 2022

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

Full work available at URL https://doi.org/10.1080/10920277.2009.10597558

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A Regime-Switching Model of Long-Term Stock Returns
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Fair valuation of participating policies with surrender options and regime switching
• Option pricing and Esscher transform under regime switching
• Pricing contingent claims on stocks driven by Lévy processes
• The pricing of options and corporate liabilities

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