Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Nikolay Gudkov, Katja Ignatieva and Jonathan Ziveyi
| Year of publication: |
2019
|
|---|---|
| Authors: | Gudkov, Nikolay ; Ignatieva, Ekaterina ; Ziveyi, Jonathan |
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1490806 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194671