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  • Search: subject:"Hyper-exponential jump diffusion process"
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Subject
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Hyper-exponential jump diffusion process 2 Laplace transform 2 Refracted Lévy process 2 State-dependent fee 2 Variable annuities 2 Charges 1 Finanzmathematik 1 Gebühr 1 Lebensversicherung 1 Life insurance 1 Mathematical finance 1 Option pricing theory 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Wu, Lan 2 Zhou, Jiang 2
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Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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The time of deducting fees for variable annuities under the state-dependent fee structure
Zhou, Jiang; Wu, Lan - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 125-134
We investigate the total time of deducting fees for variable annuities with state-dependent fee. This fee charging method is studied recently by Bernard et al. (2014) and Delong (2014) in which the fees deducted from the policyholder’s account depend on the account value. However, both of them...
Persistent link: https://www.econbiz.de/10011263845
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Cover Image
The time of deducting fees for variable annuities under the state-dependent fee structure
Zhou, Jiang; Wu, Lan - In: Insurance / Mathematics & economics 61 (2015), pp. 125-134
Persistent link: https://www.econbiz.de/10010515907
Saved in:
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