Valuation of variable annuities with guaranteed minimum withdrawal and death benefits via stochastic control optimization
Xiaolin Luo; Pavel V. Shevchenko
| Year of publication: |
2015
|
|---|---|
| Authors: | Luo, Xiaolin ; Shevchenko, Pavel V. |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 5-15
|
| Subject: | Variable annuity | Optimal stochastic control | Guaranteed minimum withdrawal benefit | Guaranteed minimum death benefit | Mortality risk | Sterblichkeit | Mortality | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Lebensversicherung | Life insurance | Leibrente | Life annuity |
| 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/10011312092