Risk-neutral valuation of GLWB riders in variable annuities
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Publication:6152701
DOI10.1016/j.insmatheco.2023.10.001OpenAlexW4388535999MaRDI QIDQ6152701
Rosario Maggistro, Anna Rita Bacinello, Ivan Zoccolan
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.10.001
Processes with independent increments; Lévy processes (60G51) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Actuarial mathematics (91G05)
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