“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009

DOI10.1080/10920277.2009.10597558zbMath1483.91191OpenAlexW2085553066MaRDI QIDQ5029072

Robert J. Elliott, Tak Kuen Siu

Publication date: 11 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2009.10597558

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Option pricing and Esscher transform under regime switching
• Fair valuation of participating policies with surrender options and regime switching
• Pricing contingent claims on stocks driven by Lévy processes
• AMERICAN OPTIONS WITH REGIME SWITCHING
• A Regime-Switching Model of Long-Term Stock Returns

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