Cliquet-style return guarantees in a regime switching Lévy model
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Publication:506080
DOI10.1016/J.INSMATHECO.2016.11.009zbMath1394.91219OpenAlexW2477209055MaRDI QIDQ506080
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.2016.11.009
regime switchingLévy modelannual guaranteecliquet-style guaranteeFourier pricinginsurance contractsRatchet-type guarantee
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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