Fourier space time-stepping algorithm for valuing Guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
By Katja Ignatieva, Andrew Song and Jonathan Ziveyi
| Year of publication: |
2018
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| Authors: | Ignatieva, Ekaterina ; Song, Andrew ; Ziveyi, Jonathan |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 48.2018, 1, p. 139-169
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| Subject: | Guaranteed minimum withdrawal benefits | variable annuity | mortality risk | regime-switching | Fourier space time-stepping | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | CAPM | Anleihe | Bond | Kontrolltheorie | Control theory | Algorithmus | Algorithm | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2017.23 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011875585