Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
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Cites work
- scientific article; zbMATH DE number 4013703 (Why is no real title available?)
- scientific article; zbMATH DE number 4032883 (Why is no real title available?)
- scientific article; zbMATH DE number 1183924 (Why is no real title available?)
- scientific article; zbMATH DE number 3736680 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 846103 (Why is no real title available?)
- A subordinated Markov model for stochastic mortality
- Actuarial Mathematics for Life Contingent Risks
- Investment guarantees: Modeling and risk management for equity-linked life insurance
- Markov aging process and phase-type law of mortality
- Pricing equity-linked life insurance with endogenous minimum guarantees
- Pricing of Unit-linked Life Insurance Policies
- The pricing of options and corporate liabilities
- “Stochastic Annuities,” Daniel Dufresne, January 2007
Cited in
(7)- Randomization and the valuation of guaranteed minimum death benefits
- Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model
- Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk
- Application of the phase-type mortality law to life contingencies and risk management
- Pricing some life-contingent lookback options under regime-switching Lévy models
- Analytic solution for ratchet guaranteed minimum death benefit options under a variety of mortality laws
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