Surrender and path-dependent guarantees in variable annuities : integral equation solutions and benchmark methods
Antonio L. Martire, Emilio Russo, Alessandro Staino
| Year of publication: |
2023
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|---|---|
| Authors: | Martire, Antonio L. ; Russo, Emilio ; Staino, Alessandro |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 46.2023, 1, p. 177-220
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| Subject: | Guaranteed minimum maturity/accumulation benefit | Lattice model | Monte Carlo simulation | Randomized trapezoidal quadrature | Variable annuity | Volterra integral equation | Monte-Carlo-Simulation | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | Optionspreistheorie | Option pricing theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-022-00383-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10014321412