Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method

DOI10.1016/j.jmaa.2023.127666zbMath1527.91145OpenAlexW4385738171MaRDI QIDQ6058844

Yayun Wang

Publication date: 1 November 2023

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2023.127666

zbMATH Keywords

pricingGMDBcomplex Fourier series methodregime switching Lévy model

Mathematics Subject Classification ID

Convergence and absolute convergence of Fourier and trigonometric series (42A20) Actuarial mathematics (91G05)

Cites Work

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