LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC
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Publication:5119562
DOI10.1017/ASB.2020.7zbMath1447.91136OpenAlexW3016400466MaRDI QIDQ5119562
Publication date: 31 August 2020
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/237517
variable annuitiesgrowth optimal portfoliobenchmark approachminimal market modellong-dated equity index optionsstochastic mortality ratesstochastic short rate
Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Actuarial mathematics (91G05)
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