Analytic valuation of guaranteed lifetime withdrawal benefits with a modified ratchet
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Publication:6607484
Recommendations
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Cites work
- A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
- Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
- Equator. A function calculator
- Fitting combinations of exponentials to probability distributions
- On approximation of functions by exponential sums
- The Laplace transform of hitting times of integrated geometric Brownian motion
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