Valuing equity-linked death benefits on multiple life with time until death following a K_n distribution

DOI10.1155/2023/9984786MaRDI QIDQ6534962zbMATH OpenFDO

Authors Franck Adékambi, Essomanda Konzou

Publication date 13 October 2023

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Valuing equity-linked death benefits in general exponential Lévy models
• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
• Valuing equity-linked death benefits with a threshold expense strategy
• Valuation of Equity-Linked Life Insurance Contracts Using a Model with Interacting Assets
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality
• Valuation of cliquet-style guarantees with death benefits
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3755546 (Why is no real title available?)
• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• Application of the phase-type mortality law to life contingencies and risk management
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Fair valuation of insurance liabilities: merging actuarial judgement and market-consistency
• Geometric stopping of a random walk and its applications to valuing equity-linked death benefits
• Markov aging process and phase-type law of mortality
• Mathematical methods for financial markets.
• On Maximum Attainable Correlation and Other Measures of Dependence for the Sarmanov Family of Bivariate Distributions
• Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model
• Pricing some life-contingent lookback options under regime-switching Lévy models
• Properties and applications of the sarmanov family of bivariate distributions
• Randomization and the valuation of guaranteed minimum death benefits
• Valuing equity-linked death benefits and other contingent options: a discounted density approach
• Valuing equity-linked death benefits in a regime-switching framework
• Valuing equity-linked death benefits in jump diffusion models
• Valuing guaranteed equity-linked contracts by Laguerre series expansion
• Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality

Cited in

(3)

• Valuing equity-linked death benefits in jump diffusion models
• Valuing equity-linked death benefits with a threshold expense strategy
• Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model

This page was built for publication: Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6534962)