Valuing variable annuity guarantees with the multivariate Esscher transform
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Publication:654817
DOI10.1016/j.insmatheco.2011.06.003zbMath1228.91044OpenAlexW2091012841MaRDI QIDQ654817
Johnny Siu-Hang Li, Andrew Cheuk-Yin Ng
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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- Fair valuation of participating policies with surrender options and regime switching
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- Geometric Lévy process \& MEMM pricing model and related estimation problems
- Pricing and hedging long-term options
- Financial valuation of guaranteed minimum withdrawal benefits
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