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FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY - MaRDI portal

FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (Q5745191)

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scientific article; zbMATH DE number 6880928
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English
FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY
scientific article; zbMATH DE number 6880928

    Statements

    title
    FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY (English)
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    author
    Katja Ignatieva
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    Andrew Song
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    Jonathan Ziveyi
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    publication date
    5 June 2018
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    zbMATH Keywords
    guaranteed minimum withdrawal benefits
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    variable annuity
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    mortality risk
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    regime-switching
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    Fourier space time-stepping
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    cites work
    Q4002884
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    Q3102962
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    Identifiers

    DOI
    10.1017/asb.2017.23
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    zbMATH DE Number
    6880928
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    OpenAlex ID
    W2744945495
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