Fast numerical method for pricing of variable annuities with Guaranteed minimum withdrawal benefit under optimal withdrawal strategy
Xiaolin Luo, Pavel V. Shevchenko
| Year of publication: |
2015
|
|---|---|
| Authors: | Luo, Xiaolin ; Shevchenko, Pavel V. |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 3, p. 1-26
|
| Subject: | Variable annuity | optimal stochastic control | Guaranteed minimum withdrawal benefit | Gauss-Hermite quadrature | cubic spline | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403137