Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching

DOI10.1080/07362994.2012.704844zbMath1251.91041OpenAlexW2005106379MaRDI QIDQ4648511

G. George Yin, Yu-Min Wang

Publication date: 9 November 2012

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2012.704844

zbMATH Keywords

stochastic controlquantile hedgingguaranteed minimum death benefitvariable annuities

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (3)

LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

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