The reset decision for segregated fund maturity guarantees

DOI10.1016/S0167-6687(01)00086-5zbMath0990.91027OpenAlexW1983790512WikidataQ59345135 ScholiaQ59345135MaRDI QIDQ5956049

Michael J. Armstrong

Publication date: 11 April 2002

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(01)00086-5

zbMATH Keywords

Markov chainsequity-indexed annuitiesmaturity guaranteesreset guaranteessegregated funds

Mathematics Subject Classification ID

Related Items (3)

Moment matching machine learning methods for risk management of large variable annuity portfolios ⋮ A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES ⋮ Application of data clustering and machine learning in variable annuity valuation

Cites Work

• From ruin theory to pricing reset guarantees and perpetual put options
• Better late than never: The case of the rollover option
• Reserving for maturity guarantees: Two approaches
• Quasi-Monte Carlo Methods in Numerical Finance
• Unnamed Item

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