Valuation of general GMWB annuities in a low interest rate environment
Claudio Fontana, Francesco Rotondi
| Year of publication: |
2023
|
|---|---|
| Authors: | Fontana, Claudio ; Rotondi, Francesco |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 112.2023, p. 142-167
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| Subject: | Dynamic withdrawal | Guaranteed minimum withdrawal benefit | Hull-White model | Mortality risk | Step-up feature | Stochastic interest rate | Surrender | Variable annuity | Sterblichkeit | Mortality | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Lebensversicherung | Life insurance | Private Altersvorsorge | Private retirement provision | CAPM | Optionspreistheorie | Option pricing theory | Altersvorsorge | Retirement provision | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2023.07.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014446751