Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation

DOI10.1016/j.cam.2010.12.003zbMath1229.91358OpenAlexW2052985179MaRDI QIDQ629561

Zhuo Jin, G. George Yin, Yu-Min Wang

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.12.003

zbMATH Keywords

regime switchingquantile hedgingvariable annuitiesMarkov chain approximationGMDBs

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (7)

Hedging Costs for Variable Annuities Under Regime-Switching ⋮ Pricing equity-linked guaranteed minimum death benefits with surrender risk by complex Fourier series expansion method ⋮ Option pricing under regime-switching models: novel approaches removing path-dependence ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ An optimal stochastic control framework for determining the cost of hedging of variable annuities ⋮ Approximating functionals of local martingales under lack of uniqueness of the Black–Scholes PDE solution ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models

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