Pricing annuity guarantees under a double regime-switching model
Kun Fan; Yang Shen; Tak Kuen Siu; Rongming Wang
| Year of publication: |
2015
|
|---|---|
| Authors: | Fan, Kun ; Shen, Yang ; Siu, Tak Kuen ; Wang, Rongming |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 62-78
|
| Subject: | Equity-indexed annuity | Variable annuity | Regime-switching | Esscher transform | Fast Fourier transform | Private Altersvorsorge | Private retirement provision | Optionspreistheorie | Option pricing theory | Finanzmathematik | Mathematical finance | Markov-Kette | Markov chain | Lebensversicherung | Life insurance | Altersvorsorge | Retirement provision |
| 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/10011312087