Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model

DOI10.1080/14697688.2013.783287zbMath1403.91201OpenAlexW2045883304MaRDI QIDQ2879033

Filip Uzelac, Alexander Szimayer

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.783287

zbMATH Keywords

partial differential equationsinsurance mathematicsnumerical methods for option pricinginsurance related productsbound rationality

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (2)

Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities

Cites Work

• Option pricing and Esscher transform under regime switching
• Intensity-based framework and penalty formulation of optimal stopping problems
• Short rate nonlinearities and regime switches.
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• AMERICAN OPTIONS WITH REGIME SWITCHING
• Lapse rate modeling: a rational expectation approach
• Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option
• A Regime-Switching Model of Long-Term Stock Returns

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