Closed-form solutions for guaranteed minimum accumulation and death benefits

DOI10.1007/s13385-015-0121-8zbMath1415.91155OpenAlexW3124268564MaRDI QIDQ303739

Mikhail Krayzler, Rudi Zagst, Bernhard Brunner

Publication date: 22 August 2016

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-015-0121-8

zbMATH Keywords

hybrid modelvariable annuitiesguaranteed minimum accumulation and death benefits

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Quantitative modeling of risk management strategies: stochastic reserving and hedging of variable annuity guaranteed benefits ⋮ Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk

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