A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate (Q6556883)
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scientific article; zbMATH DE number 7866640
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate |
scientific article; zbMATH DE number 7866640 |
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A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate (English)
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17 June 2024
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guaranteed minimum withdrawal benefit
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impulse control
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jump-diffusion
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monotonicity
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stochastic interest rate
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variable annuity
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viscosity solution
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