Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Katja Ignatieva, Andrew Song, Jonathan Ziveyi
| Year of publication: |
September 2016
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|---|---|
| Authors: | Ignatieva, Ekaterina ; Song, Andrew ; Ziveyi, Jonathan |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 286-300
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| Subject: | Variable annuity | Guaranteed Minimum Benefits (GMB) | Fourier Space Time-stepping (FST) algorithm | Mortality risk | Interest rate risk | Sterblichkeit | Mortality | Hedging | Zinsrisiko | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Risiko | Risk | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011597296