Randomization and the valuation of guaranteed minimum death benefits (Q6167872)

scientific article; zbMATH DE number 7709397

Language	Label	Description	Also known as
English	Randomization and the valuation of guaranteed minimum death benefits	scientific article; zbMATH DE number 7709397

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instance of

scholarly article

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title

Randomization and the valuation of guaranteed minimum death benefits (English)

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European Journal of Operational Research

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publication date

10 July 2023

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zbMATH Keywords

risk analysis

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variable annuities

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erlangization

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regime switching

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phase-type distributions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2023.01.059

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Algorithm 705; a FORTRAN-77 software package for solving the Sylvester matrix equation AXB T + CXD T = E

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Valuing equity-linked death benefits and other contingent options: a discounted density approach

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Valuing equity-linked death benefits in jump diffusion models

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Geometric stopping of a random walk and its applications to valuing equity-linked death benefits

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Option pricing under regime-switching models: novel approaches removing path-dependence

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Comparison of different numerical Laplace inversion methods for engineering applications

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First-passage times of regime switching models

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Cliquet-style return guarantees in a regime switching Lévy model

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On the First Passage Time Under Regime-Switching with Jumps

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Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation

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Equity-linked guaranteed minimum death benefits with dollar cost averaging

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First passage times of a jump diffusion process

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Pricing and hedging defaultable participating contracts with regime switching and jump risk

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Valuing guaranteed equity-linked contracts under piecewise constant forces of mortality

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Exotic Derivatives under Stochastic Volatility Models with Jumps

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Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains

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Delay-time modelling of a critical system subject to random inspections

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VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK

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Pricing equity-linked death benefits by complex Fourier series expansion in a regime-switching jump diffusion model

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Identifiers

DOI

10.1016/j.ejor.2023.01.059

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6167872