Valuing variable annuity guarantees with the multivariate Esscher transform
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Publication:654817
DOI10.1016/J.INSMATHECO.2011.06.003zbMATH Open1228.91044OpenAlexW2091012841MaRDI QIDQ654817FDOQ654817
Authors: Andrew Cheuk-Yin Ng, Johnny Siu-Hang Li 
Publication date: 21 December 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.06.003
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Cites Work
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Financial valuation of guaranteed minimum withdrawal benefits
- Title not available (Why is that?)
- Option pricing and Esscher transform under regime switching
- Fair valuation of participating policies with surrender options and regime switching
- Pricing participating products under a generalized jump-diffusion model
- Pricing and hedging long-term options
- Geometric Lévy process \& MEMM pricing model and related estimation problems
Cited In (22)
- Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
- Exchange option pricing in jump-diffusion models based on Esscher transform
- Pricing of multi-period rate of return guarantees: the Monte Carlo approach
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Application of data clustering and machine learning in variable annuity valuation
- Variable annuity pricing, valuation, and risk management: a survey
- Quanto option pricing with a jump diffusion process
- Valuing equity-linked death benefits with a threshold expense strategy
- Deep hedging of long-term financial derivatives
- Valuing equity-indexed annuities with icicled barrier options
- Pricing annuity guarantees under a regime-switching model
- Pricing and hedging variable annuity guarantees with multiasset stochastic investment models
- Pricing two-asset alternating barrier options with icicles and their variations
- Optimal initiation of a GLWB in a variable annuity: no arbitrage approach
- Real-time valuation of large variable annuity portfolios: a Green mesh approach
- Statutory financial reporting for variable annuity guaranteed death benefits: market practice, mathematical modeling and computation
- The distribution of refracted Lévy processes with jumps having rational Laplace transforms
- Valuing variable annuity guarantees on multiple assets
- Multivariate models of equity returns for investment guarantees valuation
- Pricing annuity guarantees under a double regime-switching model
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Option pricing with threshold diffusion processes
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