Pricing guaranteed annuity options in a linear-rational Wishart mortality model

DOI10.1016/j.insmatheco.2024.01.004OpenAlexW4391112988MaRDI QIDQ6199669

José Da Fonseca

Publication date: 21 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2024.01.004

zbMATH Keywords

interest rate riskdependencemortality riskguaranteed annuity optionlinear-rational Wishart model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Cites Work

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