Valuing equity-linked death benefits with a threshold expense strategy

DOI10.1016/J.INSMATHECO.2015.03.002zbMath1318.91128OpenAlexW1986241871MaRDI QIDQ2347060

Yanyan Li

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.002

zbMATH Keywords

Itô's formulaguaranteed minimum death benefitsequity-linked productsrefracted Lévy processthreshold expense strategy

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (6)

First passage problems of refracted jump diffusion processes and their applications in valuing equity-linked death benefits ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ The distribution of refracted Lévy processes with jumps having rational Laplace transforms ⋮ Valuing equity-linked death benefits with a threshold expense structure under a regime-switching Lévy model

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