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direct integration method
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guaranteed living and death benefits
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optimal stochastic control
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A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.
;
Luo, Xiaolin
- In:
Risks
4
(
2016
)
3
,
pp. 1-31
process, we develop a
direct
integration
method
based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for …
Persistent link: https://www.econbiz.de/10011709561
Saved in:
2
A unified pricing of variable annuity guarantees under the optimal stochastic control framework
Shevchenko, Pavel V.
;
Luo, Xiaolin
- In:
Risks : open access journal
4
(
2016
)
3
,
pp. 1-31
process, we develop a
direct
integration
method
based on the Gauss-Hermite quadratures with a one-dimensional cubic spline for …
Persistent link: https://www.econbiz.de/10011507624
Saved in:
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