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An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models
Feng, Runhuan - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 304-313
Persistent link: https://www.econbiz.de/10008989314
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Variable annuities with VIX-linked fee structure under a Heston-type stochastic volatility model
Cui, Zhenyu; Feng, Runhuan; MacKay, Anne - In: North American actuarial journal 21 (2017) 3, pp. 458-483
Persistent link: https://www.econbiz.de/10011858078
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Variable Annuities with VIX-Linked Fee Structure under a Heston-Type Stochastic Volatility Model
Cui, Zhenyu - 2016
The Chicago Board of Options Exchange (CBOE) advocates linking variable annuity (VA) fees to its trademark VIX index in a white paper (CBOE, 2013a, b). It claims that the VIX-linked fee structure has several advantages over the traditional fixed percentage fee structure. However, the evidence...
Persistent link: https://www.econbiz.de/10012980079