Valuing variable annuities with guaranteed minimum lifetime withdrawal benefits
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Publication:495479
DOI10.1016/j.insmatheco.2015.04.001zbMath1348.91182OpenAlexW3124203948MaRDI QIDQ495479
Olivia S. Mitchell, Petra Steinorth
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1143&context=prc_papers
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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