Pricing maturity guarantee with dynamic withdrawal benefit

DOI10.1016/j.insmatheco.2010.04.006zbMath1231.91437OpenAlexW2010796074MaRDI QIDQ661240

Bangwon Ko, Elias S. W. Shiu, Li Wei

Publication date: 10 February 2012

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.04.006

zbMATH Keywords

reflected Brownian motionmaturity guaranteedynamic fund protectiondynamic withdrawal benefitEsscher transforms

Mathematics Subject Classification ID

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

Related Items (10)

VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Valuing guaranteed minimum accumulation benefits by a change of numéraire approach ⋮ Arbitrage problems with reflected geometric Brownian motion ⋮ Valuing equity-linked death benefits and other contingent options: a discounted density approach ⋮ Valuing equity-linked death benefits in jump diffusion models ⋮ Application of data clustering and machine learning in variable annuity valuation ⋮ The distribution of refracted Lévy processes with jumps having rational Laplace transforms ⋮ Valuing equity-linked death benefits with a threshold expense strategy ⋮ The time of deducting fees for variable annuities under the state-dependent fee structure ⋮ Variable annuity pricing, valuation, and risk management: a survey

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