Valuation of variable annuities with Guaranteed Minimum Withdrawal Benefit under stochastic interest rate
Pavel V. Shevchenko, Xiaolin Luo
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Shevchenko, Pavel V. ; Luo, Xiaolin |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 76.2017, p. 104-117
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| Subject: | Variable annuity | Living and death benefits | Stochastic interest rate | Optimal stochastic control | Guaranteed Minimum Withdrawal Benefit | Gauss-Hermite quadrature | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Kontrolltheorie | Control theory | Lebensversicherung | Life insurance | Anleihe | Bond |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.06.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011774788