Valuing equity-linked annuities under high-water mark fee structure
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Publication:6547264
DOI10.1080/03461238.2023.2275276zbMATH Open1537.91273MaRDI QIDQ6547264FDOQ6547264
Authors: Kaixin Yan, Shuanming Li, Aili Zhang 
Publication date: 30 May 2024
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Cites Work
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- Title not available (Why is that?)
- Valuing equity-linked death benefits in jump diffusion models
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- On first passage times of a hyper-exponential jump diffusion process
- Pricing double-barrier options under a flexible jump diffusion model
- Refracted Lévy processes
- Pricing equity-indexed annuities with path-dependent options.
- “Stochastic Annuities,” Daniel Dufresne, January 2007
- State-dependent fees for variable annuity guarantees
- A drawdown reflected spectrally negative Lévy process
- Valuing equity-linked death benefits with a threshold expense strategy
- A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes
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