Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
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Publication:492634
DOI10.1016/j.insmatheco.2015.03.018zbMath1348.91145OpenAlexW2054127758MaRDI QIDQ492634
Huan Gao, Anton Tenyakov, Xiaoming Liu, Rogemar S. Mamon
Publication date: 20 August 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.018
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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