An FFT approach to price guaranteed minimum death benefit in variable annuities under a regime-switching model
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Publication:5166103
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Cited in
(18)- Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
- Efficient valuation of variable annuities under regime-switching jump diffusion models with surrender risk and mortality risk
- Evaluation of participating endowment life insurance policies in a stochastic environment
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method
- Pricing annuity guarantees under a double regime-switching model
- Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model
- Valuation of annuity guarantees under a self-exciting switching jump model
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)
- Valuation of guaranteed unitized participating life insurance under MEGB2 distribution
- The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- Pricing annuity guarantees under a regime-switching model
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
- Analytical pricing of variable annuities
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