Valuing equity-linked death benefits in general exponential Lévy models

DOI10.1016/j.cam.2019.112377zbMath1430.91079OpenAlexW2965315875WikidataQ115581028 ScholiaQ115581028MaRDI QIDQ2332688

Zhimin Zhang, Wenguang Yu, Yaodi Yong

Publication date: 5 November 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112377

zbMATH Keywords

PROJGMDBequity linked death benefits

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Actuarial mathematics (91G05)

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Cites Work

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