Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Year of publication: |
2019
|
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Authors: | Gudkov, Nikolay ; Ignatieva, Ekaterina ; Ziveyi, Jonathan |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 501-518
|
Subject: | Componentwise splitting method | Guaranteed minimum withdrawal benefit (GMWB) riders | Stochastic interest rates | Stochastic mortality | Stochastic volatility | Variable annuities | Stochastischer Prozess | Stochastic process | Sterblichkeit | Mortality | Zins | Interest rate | Volatilität | Volatility | CAPM | Anleihe | Bond | Optionspreistheorie | Option pricing theory |
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