Reset and withdrawal rights in dynamic fund protection

DOI10.1016/j.insmatheco.2003.12.004zbMath1136.91421OpenAlexW2094784506WikidataQ60148471 ScholiaQ60148471MaRDI QIDQ868324

Chi Chiu Chu, Yue Kuen Kwok

Publication date: 2 March 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2003.12.004

zbMATH Keywords

withdrawal rightsdynamic fundsoptimal reset

Mathematics Subject Classification ID

Related Items (9)

Dynamic Fund Protection for Property Markets ⋮ Lookback options and dynamic fund protection under multiscale stochastic volatility ⋮ Indifference fee rate for variable annuities ⋮ Pricing dynamic fund protections with regime switching ⋮ Finite-time dividend-ruin models ⋮ Pricing dynamic fund protections for a hyperexponential jump diffusion process ⋮ GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES ⋮ The pricing of dynamic fund protection with default risk ⋮ Valuation of Discrete Dynamic Fund Protection Under Lévy Processes

Cites Work

• Unnamed Item
• Sub-replication and replenishing premium: Efficient pricing of multi-state lookbacks
• Options with Multiple Reset Rights
• Understanding the Behavior and Hedging of Segregated Funds Offering the Reset Feature
• Pricing Perpetual Fund Protection with Withdrawal Option
• Pricing Discrete Dynamic Fund Protections
• Pricing Dynamic Investment Fund Protection
• Valuing Equity-Indexed Annuities
• Dynamic Fund Protection

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