The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours
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Publication:4576977
DOI10.1080/03461238.2014.954608zbMath1401.91095OpenAlexW1978682999MaRDI QIDQ4576977
Pietro Millossovich, Alvaro Montealegre, Anna Rita Bacinello
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/15757/1/The%20Valuation%20of%20GMWB%2021_05_2014%20final%20version.pdf
Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39)
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