LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC (Q5119562)
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scientific article; zbMATH DE number 7241928
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC |
scientific article; zbMATH DE number 7241928 |
Statements
LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC (English)
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31 August 2020
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variable annuities
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growth optimal portfolio
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benchmark approach
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long-dated equity index options
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minimal market model
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stochastic short rate
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stochastic mortality rates
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