Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
Zhenyu Cui, J. Lars Kirkby, Duy Nguyen
| Year of publication: |
May 2017
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|---|---|
| Authors: | Cui, Zhenyu ; Kirkby, J. Lars ; Nguyen, Duy |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 46-62
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| Subject: | Life insurance | Equity-linked annuity | Cliquet-style guarantee | Stochastic volatility | Jump diffusion | Regime-switching | Lebensversicherung | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Kapitaleinkommen | Capital income | CAPM | Versicherungsmathematik | Actuarial mathematics | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.02.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712358