Valuing inflation-linked death benefits under a stochastic volatility framework

DOI10.1016/J.INSMATHECO.2016.03.014zbMath1369.91184OpenAlexW2339480055MaRDI QIDQ343966

Wenlong Sheng, Zongxia Liang

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.014

zbMATH Keywords

stochastic volatilityHeath-Jarrow-Morton modelstochastic interest ratesvariable annuitiesguaranteed minimum death benefitsSchöbel and Zhu modelstochastic inflation

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Regression Modeling for the Valuation of Large Variable Annuity Portfolios ⋮ Variable annuity pricing, valuation, and risk management: a survey

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