Randomization and the valuation of guaranteed minimum death benefits

DOI10.1016/j.ejor.2023.01.059OpenAlexW4319028153MaRDI QIDQ6167872

Griselda Deelstra, Peter Hieber

Publication date: 10 July 2023

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2023.01.059

zbMATH Keywords

risk analysisregime switchingphase-type distributionsvariable annuitieserlangization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (2)

Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ Analyzing the interest rate risk of equity-indexed annuities via scenario matrices

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