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  • Search: subject:"Fourier Space Time-stepping (FST) algorithm"
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Fourier Space Time-stepping (FST) algorithm 1 Guaranteed Minimum Benefits (GMB) 1 Hedging 1 Interest rate risk 1 Lebensversicherung 1 Life insurance 1 Mortality 1 Mortality risk 1 Option pricing theory 1 Optionspreistheorie 1 Risiko 1 Risk 1 Sterblichkeit 1 Stochastic process 1 Stochastischer Prozess 1 Variable annuity 1 Zinsrisiko 1
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Ignatieva, Ekaterina 1 Song, Andrew 1 Ziveyi, Jonathan 1
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Insurance / Mathematics & economics 1
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Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Ignatieva, Ekaterina; Song, Andrew; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 70 (2016), pp. 286-300
Persistent link: https://www.econbiz.de/10011597296
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