Variable annuities in a Lévy-based hybrid model with surrender risk

DOI10.1080/14697688.2019.1687929zbMath1466.91248arXiv1905.09596OpenAlexW2991055777MaRDI QIDQ4991063

Laura Ballotta, Thorsten Schmidt, Ernst Eberlein, Raghid Zeineddine

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.09596

zbMATH Keywords

Lévy processesfinancehybrid modelsvariable annuitiessurrender risk

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

Related Items (6)

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier cosine method ⋮ Fourier based methods for the management of complex life insurance products ⋮ Valuation of guaranteed minimum maturity benefits under mean reversion and jump models with surrender risk ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ Pricing variable annuity with surrender guarantee

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