Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes
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Publication:5379237
DOI10.1080/10920277.2017.1302804zbMath1414.91414OpenAlexW2742767059MaRDI QIDQ5379237
Fangyuan Sally Lin, Adam W. Kolkiewicz
Publication date: 28 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2017.1302804
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Related Items (10)
Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Valuing variable annuities with path-dependent surrender guarantees under regime-switching Lévy models ⋮ Valuation of variable annuities with guaranteed minimum maturity benefits and periodic fees ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ Pricing some life-contingent lookback options under regime-switching Lévy models ⋮ Valuation of a DB underpin hybrid pension under a regime-switching Lévy model ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
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