Analytical valuation and hedging of variable annuity guaranteed lifetime withdrawal benefits
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Publication:506067
DOI10.1016/j.insmatheco.2016.10.011zbMath1394.91215OpenAlexW2549510797MaRDI QIDQ506067
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.10.011
exponential sumsdelta-hedgingrisk-neutral valuationfitting probability density functionguaranteed lifetime withdrawal benefitvariable annuity guaranteed benefit
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